P1.T4. Valuation & Risk Models

Practice questions for valuation and risk models: value at risk (VaR), binomial, BSM, Greeks, Tuckman's bonds, bond sensitivities, stress testing, credit ratings, expected/unexpected loss, OpRisk intro
Nicole Seaman
P1.T4.805. Linear and non-linear derivative value at risk (VaR) (Allen Ch.3)
2 3
Replies
48
Views
2K
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P1.T4.804. Value at risk (VaR) estimation approaches (Allen Ch.2)
2
Replies
20
Views
859
wookan06
W
Nicole Seaman
P1.T4.803. Quantifying volatility in value at risk (VaR) models (Allen Ch.2)
2
Replies
25
Views
1K
Ethan.kh
E
Nicole Seaman
P1.T4.802. Stress Testing and Other Risk Management Tools (Siddique)
Replies
7
Views
364
Clay Carter
Clay Carter
Nicole Seaman
P1.T4.801. Stress testing validation and the role of internal audit (Siddique)
Replies
0
Views
203
Nicole Seaman
Nicole Seaman
Nicole Seaman
P1.T4.800. Stress testing governance (Siddique)
Replies
6
Views
344
Agil Zeynalli
Agil Zeynalli
J
Focus review topic 4 video 8 of 8
Replies
6
Views
31
Jose V
J
J
Warrants - Study Notes - Hull, Options, Futures, and Other Derivatives
Replies
3
Views
32
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P1.T4.602. Factors that influence the level of sovereign default risk (Damodaran)
Replies
3
Views
152
Razi
Razi
Nicole Seaman
P1.T4.601. Composite measures of country risk (Damodaran)
Replies
0
Views
160
Nicole Seaman
Nicole Seaman
Nicole Seaman
P1.T4.600. Sources of country risk (Damodaran)
Replies
0
Views
183
Nicole Seaman
Nicole Seaman
RiskRat
Binomial Tree - The value of a 2-year American put option
Replies
12
Views
71
tusharkango
T
Nicole Seaman
P1.T4.507. Credit loss distribution (Schroeck)
Replies
9
Views
794
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P1.T4.506. Expected loss, unexpected loss and risk contribution (Schroeck)
2 3
Replies
53
Views
2K
dla00
D
Nicole Seaman
P1.T4.505. Economic capital (Schroeck)
Replies
6
Views
588
Justyna80
J
Nicole Seaman
P1.T4.504. Stress testing methodology (BIS) (Principles)
Replies
5
Views
434
JeffSchmitz
J
Nicole Seaman
Quiz-T4 P1.T4.418. Expected and unexpected loss (EL and UL)
2
Replies
27
Views
717
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
Quiz-T4 P1.T4.417. Interest rate risk
2
Replies
24
Views
883
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
Quiz-T4 P1.T4.416. Term structure scenarios and bond yields
Replies
11
Views
472
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
Quiz-T4 P1.T4.415. Spot and forward rates
Replies
17
Views
609
v.modaher
V
Nicole Seaman
Quiz-T4 P1.T4.414. Option Greeks
2
Replies
29
Views
757
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
Quiz-T4 P1.T4.413. Black-Scholes
Replies
9
Views
311
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
Quiz-T4 P1.T4.412. Binomial
Replies
18
Views
691
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
Quiz-T4 P1.T4.411. Expected shortfall (ES)
2
Replies
34
Views
1K
yLam4028
Y
Nicole Seaman
Quiz-T4 P1.T4.410. Value at risk, linear versus non-linear
2
Replies
38
Views
1K
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
Quiz-T4 P1.T4.409 Value at risk (VaR), basic
Replies
18
Views
808
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P1.T4.408. Alternative measures of country risk (Wagner)
Replies
0
Views
99
Nicole Seaman
Nicole Seaman
Nicole Seaman
P1.T4.407. Country risk tools and indicators (Wagner)
Replies
2
Views
124
Nicole Seaman
Nicole Seaman
Nicole Seaman
P1.T4.406. Political stability and economic openness (Wagner)
Replies
0
Views
120
Nicole Seaman
Nicole Seaman
Nicole Seaman
P1.T4.405. Country risk (Wagner)
Replies
2
Views
133
David Harper CFA FRM
David Harper CFA FRM
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