P2.T5. Market Risk

Practice questions for Market Risk Measurement & Management
Derrick.Roslanic
P2.T5.25.8 Estimating and Analyzing Interest Rate Factors in the Gauss+ Model
Replies
2
Views
53
Clay Carter
Clay Carter
Derrick.Roslanic
P2.T5.25.7 Gauss+ vs. Vasicek: Interest Rate Modeling and Dynamics
Replies
0
Views
34
Derrick.Roslanic
Derrick.Roslanic
Derrick.Roslanic
P2.T5.25.6 Challenges in Benchmarking and Confidence Intervals for VaR Model Validation
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2
Views
44
Clay Carter
Clay Carter
Derrick.Roslanic
P2.T5.25.5 Conceptual Soundness and Sensitivity Analysis in VaR Models
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0
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21
Derrick.Roslanic
Derrick.Roslanic
Derrick.Roslanic
P2.T5.25.4 Backtesting VaR Models with PITs (Kolmogorov-Smirnov, Anderson-Darling, Cramér-von Mises)
Replies
0
Views
18
Derrick.Roslanic
Derrick.Roslanic
Derrick.Roslanic
P2.T5.25.3 Testing VaR Models Using Exceedance Backtests and PIT Distribution Analysis
Replies
2
Views
45
Clay Carter
Clay Carter
Derrick.Roslanic
P2.T5.25.2 Risk-Averse Investors
Replies
0
Views
29
Derrick.Roslanic
Derrick.Roslanic
Nicole Seaman
P2.T5.25.1 Reverse Regressions
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0
Views
58
Nicole Seaman
Nicole Seaman
Nicole Seaman
P2.T5.24.1 Correlation in derivatives and managing market risk of multi-asset portfolios
Replies
12
Views
164
Clay Carter
Clay Carter
Nicole Seaman
P2.T5.23.8 Fundamental Review of the Trading Book (FRTB)
Replies
8
Views
395
Sihle
S
Nicole Seaman
P2.T5.23.7 More Volatility Smiles
Replies
15
Views
343
Clay Carter
Clay Carter
Nicole Seaman
P2.T5.23.6. Implied volatility
Replies
0
Views
45
Nicole Seaman
Nicole Seaman
David Harper CFA FRM
P2.T5.23.5 Cox-Ingersoll-Ross (CIR) model
Replies
4
Views
270
Nicole Seaman
Nicole Seaman
Nicole Seaman
P2.T5.23.4 Vasicek term structure model
Replies
9
Views
300
gsarm1987
gsarm1987
Nicole Seaman
P2.T5.23.3. Evolution of short rates and shape of the term structure
Replies
6
Views
376
MarkusAuer92
M
David Harper CFA FRM
P2.T5.23.2. Multi-period interest rate trees
Replies
14
Views
488
Nicole Seaman
Nicole Seaman
Nicole Seaman
P2.T5.23.1. Risk-neutral interest rate term structure
2
Replies
26
Views
633
HKim1365
H
Nicole Seaman
P2.T5.22.15. Fixed income regression and principal component analysis (PCA)
Replies
6
Views
263
Clay Carter
Clay Carter
David Harper CFA FRM
P2.T5.22.14. Empirical approaches to fixed income hedging
Replies
2
Views
265
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P2.T5.22.13. Copula functions for financial dependence
Replies
2
Views
199
David Harper CFA FRM
David Harper CFA FRM
David Harper CFA FRM
P2.T5.22.12. Correlation Properties
Replies
5
Views
223
gsarm1987
gsarm1987
Nicole Seaman
P2.T5.22.11 Correlation Basics
Replies
7
Views
319
TNguy5388
T
Nicole Seaman
P2.T5.22.10. Value at risk (VaR) mapping
Replies
8
Views
235
Clay Carter
Clay Carter
Nicole Seaman
P2.T5.22.9. VaR Mapping
Replies
6
Views
472
gsarm1987
gsarm1987
David Harper CFA FRM
P2.T5.22.8. Value at risk (VaR) backtest power and additional approaches
Replies
13
Views
519
TEkaz8632
T
Nicole Seaman
P2.T5.22.7 Value at risk (VaR) backtest
2
Replies
21
Views
509
Clay Carter
Clay Carter
Nicole Seaman
P2.T5.22.6. Blocks (BM) approach to extreme value theory (EVT)
Replies
6
Views
373
JLafr0337
J
David Harper CFA FRM
P2.T5.22.5. Peaks-over-threshold (POT) approach to extreme value theory (EVT)
Replies
7
Views
329
Lu Shu Kai FRM
Lu Shu Kai FRM
Nicole Seaman
P2.T5.22.4. Semi-parametric historical simulation value at risk (HS VaR)
Replies
13
Views
399
gsarm1987
gsarm1987
Nicole Seaman
P2.T5.22.3 Historical simulation approaches to value at risk (VaR) and expected shortfall (ES)
Replies
13
Views
333
David Harper CFA FRM
David Harper CFA FRM
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