New practice questions
- P1.T1.704. Bodie's multifactor models https://forum.bionicturtle.com/threads/p1-t1-704-bodies-multifactor-models.10109/
- P1.T1.705. Fama-French three factor model (Bodie's multifactor models continued) https://forum.bionicturtle.com/thre...el-bodies-multifactor-models-continued.10116/
- P2.T6.704 Linear discriminant analysis (LDA according to De Laurentis) https://forum.bionicturtle.com/thre...analysis-lda-according-to-de-laurentis.10113/
- P2.T6.705. Logistic regression and principal component analysis (PCA, De Laurentis) https://forum.bionicturtle.com/thre...al-component-analysis-pca-de-laurentis.10118/
- Nicole attended GARP’s 2017 FRM information session and posted a helpful update https://forum.bionicturtle.com/threads/garps-2017-frm-information-session-qa.10119/
- What might explain the recent negative swap spreads? https://forum.bionicturtle.com/threads/p2t9-market-and-funding-liquidity.10106/
- Wrong-way risk (ie, negative correlation between exposure and credit quality) is a key factor in counterparty credit risk https://forum.bionicturtle.com/threads/p2-t6-419-wrong-way-counterparty-risk.7900/#post-45043
- On the subtle difference between minimum variance portfolio (assumes 100% allocation) and optimal hedge ratio https://forum.bionicturtle.com/threads/p1-t2-305-minimum-variance-hedge-miller.6800/#post-47703
- Deutsche Bank Agrees To Pay $7.2 Billion For Misleading Investors In Its Sale Of Residential Mortgage-Backed Securities https://www.justice.gov/usao-edny/p...ading-investors-its-sale-residential-mortgage
- How Deutsche Bank Made a $462 Million Loss Disappear https://www.bloomberg.com/news/features/2017-01-19/how-deutsche-bank-made-367-million-disappear
- New Wall Street Conflict: Analysts Say ‘Buy’ to Win Special Access for Their Clients (Securing face time for investors with top executives has become a vital revenue source for securities firms; ‘brand ambassadors’ at Coach) http://www.wsj.com/articles/new-wal...n-special-access-for-their-clients-1484840659
- The Mortgage Market’s $1 Trillion Pocket of Worry (Nonbanking firms take on bigger share of FHA-backed mortgages) http://www.wsj.com/articles/the-mortgage-markets-1-trillion-pocket-of-worry-1484827201
- Quicken Loans, the New Mortgage Machine https://www.nytimes.com/2017/01/21/...n-loans-dan-gilbert-mortgage-lender.html?_r=0 “In the years since the crisis, many of the nation’s largest banks pulled back their mortgage-lending activities. Quicken Loans pushed in. Today, it is the second-largest retail mortgage lender, originating $96 billion in mortgages last year — an eightfold increase from 2008.”
- Trading Book and Banking Book treatment in FRTB http://iconvexity.com/frtb-trading-book-banking-book/
- Bankers prepare for eurozone break-up risk (Big European banks cutting back on some lending ahead of elections)https://www.ft.com/content/711cff9c-df13-11e6-86ac-f253db7791c6
- Toshiba: Shrinking to survive (After a disastrous nuclear deal, the company could be forced to sell off its best assets) https://www.ft.com/content/c904ef2c-dcce-11e6-9d7c-be108f1c1dce
- Risk Mitigation in Insurance: Will IFRS 17 Lead to More Transparency? (A new accounting standard for insurers is expected to yield better transparency and increased comparability – but could also lead to greater volatility. The pros and cons of IFRS 17 can be unveiled through practical examples) http://www.garp.org/#!/risk-intelligence/culture-governance/compliance/a1Z40000003NevSEAS
- Report on Distributed Ledger Technology: Implications of Blockchain for the Securities Industry http://www.finra.org/industry/repor...y-implications-blockchain-securities-industry
- Lemonade’s First Quarter In Market https://blog.lemonade.com/2017/01/18/lemonades-first-quarter-in-market-exposed/
- Making Your Cybersecurity Plan Better http://blogs.wsj.com/riskandcompliance/2017/01/23/making-your-cybersecurity-plan-better/ “What can companies do? Mr. Ferrillo: The first thing is they need a cybersecurity framework. Whether it’s NIST or one from the International Standards Organization, it’s hard to build a network security strategy without a foundational document. The second thing is the level of sophistication among hackers has never been greater. A stealthy, sophisticated threat routinely–90% of the time or more–gets through the firewall and onto the system and nobody will know about it for five or six months. Hackers are using artificial intelligence, machine learning and advanced computing tools to break into networks and find vulnerabilities in software.” The 2016 FRM Current Issues assigned this reading on the NIST framework https://forum.bionicturtle.com/resources/2016-reading-r84-ci-8-cybersecurity-101.8/
- January 10, 2017, NIST released proposed updates to Cybersecurity Framework https://www.nist.gov/cyberframework
- 2016 Was the Hottest Year on Record https://www.scientificamerican.com/article/2016-was-the-hottest-year-on-record/
- Confirmed: 2016 the Warmest Year in History of Global Recordkeeping https://www.wunderground.com/blog/J...rmest-year-in-history-of-global-recordkeeping
- A Swarm of 30 Billion-Dollar Weather Disasters Socked the Planet in 2016 https://www.wunderground.com/blog/J...lar-weather-disasters-socked-the-planet-in-20
- Aon’s 2016 Annual Global Climate and Catastrophe Report https://www.dropbox.com/s/ady5aq6lkw288xx/20170117-ab-if-annual-climate-catastrophe-report.pdf?dl=0
- Reproducible Finance with R: Sector Correlations https://www.rstudio.com/rviews/2017/01/18/reproducible-finance-with-r-sector-correlations/
- What is artificial intelligence? A three part definition http://simplystatistics.org/2017/01/19/what-is-artificial-intelligence/
- Pulling Retirement Cash, but Not by Choice (Baby boomers’ mandatory withdrawals from retirement accounts) http://www.wsj.com/articles/pulling-retirement-cash-but-not-by-choice-1484568043
- 2016/17 Kroll Annual Global Fraud and Risk Report http://www.kroll.com/en-us/intellig...eases/building-resilience-in-a-volatile-world
- Why these economists say the usual explanation for the financial crisis is wrong https://www.washingtonpost.com/news...xplanation-for-the-financial-crisis-is-wrong/ “Mian argues that regulators should scrupulously monitor banks’ activities to prevent the kinds of risky practices that he believes contributed to the financial crisis. On the reasoning that the causes of the crisis are still unknown, Willen contends policymakers should instead try to prepare the system to withstand the next collapse, which he suggests might be as unpredictable as it is inevitable … Willen compared financial regulation to seismic engineering. No one tries to prevent earthquakes, he said. Rather, the goal is to ensure buildings can remain standing despite them.”
- XL Catlin’s Emerging Risks Report http://xlcatlin.com/fast-fast-forward/articles/emerging-risk-report_q4-2016
- The Association for Financial Professionals (AFP) 2017 Risk Survey https://www.marsh.com/us/insights/r...r-finance-professionals-2017-risk-survey.html “Nearly 90% of respondents indicate that exposure to uncertainty in earnings is greater than or the same as it was three years ago.”
- How Often Does a Stock Fall 19% in One Day? Not Very Often http://www.wsj.com/articles/how-often-does-a-stock-fall-19-in-one-day-not-very-often-1485093782
- Fast Trader Pulled a Fast One on Some Customers https://www.bloomberg.com/view/articles/2017-01-17/fast-trader-pulled-a-fast-one-on-some-customers “Friday's $22.6 million settlement between the Securities and Exchange Commission and Citadel -- over SIP latency arbitrage -- has something for both sides in the debate. On the one hand, the SEC seems to have concluded that Citadel's SIP latency arbitrage was infrequent, not particularly economically significant, and ended seven years ago. On the other hand: The SEC concluded that Citadel did SIP latency arbitrage! (Sort of.) And made money on it. And even had a specific algorithm, with a specific name, to do it.”
- Citigroup Fined $25M for ‘Spoofing’ Futures http://ww2.cfo.com/regulation/2017/01/citigroup-fined-25m-spoofing/
