WIFE Week in Risk (ending Feb 19th)

David Harper CFA FRM

David Harper CFA FRM
Subscriber
New practice questions
In the forum this week (selected only) or Major News
Bank and banking
Political and regulatory risk, including Systemic Risk (including BIS)
International
Technology, including FinTech and Cybersecurity
Natural Science, including Climate and Energy
Data science (primarily R), including Alternative Data
Enterprise risk management (ERM) including governance
Quantitative Analysis (FRM P1.T2)
  • Some Notes on the Cauchy Distribution (how cool is this?!) https://www.rstudio.com/rviews/2017/02/15/some-notes-on-the-cauchy-distribution/ “The extreme values that dominate the Cauchy distribution make it the prototypical heavy-tailed distribution. Informally, a distribution is often described as having heavy or “fat” tails if the probability of events in the tails of the distribution are greater than what would be given by a Normal distribution. While there seems to be more than one formal definition of a [heavy-tailed distribution] (https://en.wikipedia.org/wiki/Heavy-tailed_distribution), the following diagram, which compares the right tails of the Normal, Exponential and Cauchy distributions, gets the general idea across … As exotic as the Cauchy distribution may seem, it is not all that difficult to come face-to-face with the Cauchy Distribution in every-day modeling work. A student t distribution with one degree of freedom is Cauchy, as is the ratio of two independent standard normal random variables.”
Financial Markets and Products, including Interest Rates, Commodity Risk, and Foreign Exchange (FX)(FRM P1.T3)
Valuation and Risk Models, including Country risk (FRM P1.T4)
Operational risk, including Legal risk (FRM P1.T7)
Investment risk, including Pensions (FRM P1.T8)
 
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