P2.T5. Market Risk

Practice questions for Market Risk Measurement & Management
Nicole Seaman
P2.T5.404. Lessons on value at risk (VaR) implementation (Messages)
2
Replies
20
Views
1K
dla00
D
Nicole Seaman
P2.T5.403. Hull's volatility-weighted historical simulation approach (HW)
Replies
0
Views
119
Nicole Seaman
Nicole Seaman
David Harper CFA FRM
P2.T5.402. Hull's model building and BRW approaches to VaR
Replies
2
Views
157
David Harper CFA FRM
David Harper CFA FRM
Nicole Seaman
P2.T5.401. Hybrid approach to value at risk (VaR) calculations (Boudoukh)
Replies
5
Views
231
JDGutzmann
JDGutzmann
Nicole Seaman
P2.T5.400. Boudoukh's hybrid approach to value at risk (VaR)
Replies
0
Views
94
Nicole Seaman
Nicole Seaman
Fran
P2.T5.307. Cox-Ingersoll-Ross (CIR) interest rate process (Tuckman)
2
Replies
28
Views
1K
Clay Carter
Clay Carter
Fran
P2.T5.306. Time-dependent interest rate volatility (Model 3) (Tuckman)
2
Replies
34
Views
993
gsarm1987
gsarm1987
Fran
P2.T5.305. Vasicek Model for interest rates (Tuckman)
2 3
Replies
50
Views
3K
abhinavkhanna
A
Suzanne Evans
P2.T5.304. Ho-Lee and arbitrage-free interest rate models (Tuckman)
2
Replies
22
Views
979
Clay Carter
Clay Carter
Suzanne Evans
P2.T5.303. Simulations with short-term interest rate models (Tuckman)
Replies
8
Views
607
David Harper CFA FRM
David Harper CFA FRM
Suzanne Evans
P2.T5.302. Term structure models with and without drift (Tuckman)
2
Replies
36
Views
1K
TEkaz8632
T
Suzanne Evans
P2.T5.301. Term structure's risk premium (Tuckman)
2
Replies
39
Views
2K
David Harper CFA FRM
David Harper CFA FRM
David Harper CFA FRM
P2.T5.300. Interest rate expectations (Tuckman)
2
Replies
37
Views
2K
gsarm1987
gsarm1987
Suzanne Evans
PQ-T5 P2.T5.212. Copulas for Dependence (topic review)
Replies
4
Views
258
Nicole Seaman
Nicole Seaman
Suzanne Evans
PQ-T5 P2.T5.211. Value at risk (III. Monte Carlo simulation) (topic review)
Replies
10
Views
234
MiguelVitiello
M
Suzanne Evans
PQ-T5 P2.T5.210. Value at risk (II. Parametric approaches) (topic review)
Replies
14
Views
486
David Harper CFA FRM
David Harper CFA FRM
Suzanne Evans
PQ-T5 P2.T5.209. Value at risk (I. Historical simulation) (topic review)
Replies
10
Views
266
Torsleno
T
Suzanne Evans
PQ-T5 P2.T5.208. VaR Mapping (topic review)
Replies
16
Views
592
smaragdi
S
Suzanne Evans
PQ-T5 P2.T5.207. Backtesting VaR (topic review)
2
Replies
26
Views
694
frenchmarmot
F
Suzanne Evans
PQ-T5 P2.T5.206. Fixed Income (III. MBS) (topic review)
2
Replies
23
Views
636
bollengc
bollengc
Suzanne Evans
PQ-T5 P2.T5.205. Fixed Income (II) (topic review)
2
Replies
30
Views
717
David Harper CFA FRM
David Harper CFA FRM
Suzanne Evans
PQ-T5 P2.T5.204. Fixed Income (I) (topic review)
2
Replies
21
Views
838
Shahnawaz
S
Suzanne Evans
PQ-T5 P2.T5.203. Hull's exotic options (III) (topic review)
Replies
0
Views
221
Suzanne Evans
Suzanne Evans
Suzanne Evans
PQ-T5 P2.T5.202. Hull's exotic options (II) (topic review)
Replies
7
Views
296
sneakyplacebo
S
Suzanne Evans
PQ-T5 P2.T5.201. Hull's exotic options (I) (topic review)
Replies
6
Views
383
David Harper CFA FRM
David Harper CFA FRM
Suzanne Evans
PQ-T5 P2.T5.200. Implied volatility (topic review)
Replies
17
Views
642
David Harper CFA FRM
David Harper CFA FRM
S
questions 1-153
Replies
5
Views
67
shanlane
S
Suzanne Evans
P2.T5.115. MBS option-adjusted spread (OAS) (Fabozzi)
Replies
0
Views
109
Suzanne Evans
Suzanne Evans
Suzanne Evans
P2.T5.114. MBS Spreads: nominal versus Z-spread versus option-adjusted (OAS) (Fabozzi)
Replies
6
Views
150
David Harper CFA FRM
David Harper CFA FRM
Suzanne Evans
P2.T5.113. Monte Carlo for valuation of mortgage-backed securities (MBS) (Fabozzi)
Replies
1
Views
92
Ankur S
A
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