New practice questions
- P1.T2.700. Seasonality in time series analysis (Diebold) https://forum.bionicturtle.com/threads/p1-t2-700-seasonality-in-time-series-analysis-diebold.10122/
- P1.T2.701. Regression analysis to model seasonality (Diebold) https://forum.bionicturtle.com/thre...-analysis-to-model-seasonality-diebold.10132/
- P2.T6.706. Heuristic approach versus neural networks (De Laurentis) https://forum.bionicturtle.com/thre...ch-versus-neural-networks-de-laurentis.10126/
- P2.T6.707. Stress testing counterparty exposures https://forum.bionicturtle.com/threads/p2-t6-707-stress-testing-counterparty-exposures.10134/
- Nicole confirms that all [FRM exam] procters and announcements are done in English (https://forum.bionicturtle.com/thre...ons-exam-day-shanghai-seoul.10114/#post-47774) and that the enrollment fee is valid for four (4) years https://forum.bionicturtle.com/threads/garps-2017-frm-information-session-qa.10119/
- Rob is right, my question has a mistake: the Vasicek model is an equilibrium model (as opposed to no-arbitrage) https://forum.bionicturtle.com/thre...del-for-interest-rates.6710/page-2#post-47825 “Equilibrium models (e.g., Model 1, Model 2, Vasicek, CIR) return a term structure as output and therefore do not match the current, observed term structure. No-arbitrage models, on the other hand, take the observed term structure as an input and therefore do match the current, observed term structure. The key issue in choosing between an arbitrage-free versus an equilibrium model is the desirability of fitting the model to match market prices. This choice depends on the purpose of the model.”
- Finding the Z spread requires goal seek (or solver) to my knowledge https://forum.bionicturtle.com/threads/learning-spreadsheet-p2-t6-malz-ch7.10135/
- In Hulls’ cost of carry (COC) model, lump sum income (or storage costs) can be translated to continuous and vice-versa. Take storage costs which enters either continuously (as u) or in lump sum (as capital U). We have U = S(0)*[exp(uT) - 1], or, u = 1/T*ln[U/S(0)+1] https://forum.bionicturtle.com/thre...ch5_cash_or_carry_learning_spreadsheet.10130/
- Why is correlation unitless? https://forum.bionicturtle.com/threads/l2-t5-82-correlation-as-dependence.3704/#post-47768
- Political Risk Outlook: Global instability of 2016 set to rise in Trump era https://maplecroft.com/portfolio/new-analysis/2017/01/19/political-risk-outlook-2017/
- U.S. Regulators Hang Tough at Basel as Trump Rollback Loom shttps://www.bloomberg.com/news/articles/2017-01-27/u-s-bank-regulators-hang-tough-at-basel-as-trump-rollback-looms
- BIS: Frequently asked questions on market risk capital requirements http://www.bis.org/bcbs/publ/d395.htm
- Report: Geopolitical Risk Is Primary Threat to Earnings http://www.brinknews.com/report-geopolitical-risk-is-primary-threat-to-earnings/
- FINRA to Publish Examination Summaries, Attend to Small Firms’ Compliance Struggles http://trtl.bz/2ki6k83 Here is the letter http://www.finra.org/industry/2017-regulatory-and-examination-priorities-letter
- Fed Grapples with Massive Portfolio (years after the financial crisis, central bank considers what to do with holdings of long-term bonds and other assets) http://www.wsj.com/articles/fed-grapples-with-massive-portfolio-1485717712 “The Fed has boosted its portfolio of long-term bonds and other assets to $4.45 trillion from less than $1 trillion in 2007, just ahead of the financial crisis … Many questions about mechanics loom. Officials have long said they won’t sell their securities, fearful it could jolt to markets. Instead, to shrink the portfolio they will alter their current practice of using the proceeds from maturing bonds to buy new ones, a process called reinvestment.” Here is Ben Bernanke blogging on the same question: Shrinking the Fed’s balance sheet https://www.brookings.edu/blog/ben-bernanke/2017/01/26/shrinking-the-feds-balance-sheet/
- Doubts Arise as Investors Flock to Crowdfunded Start-Ups https://www.nytimes.com/2017/01/24/business/dealbook/crowdfunding-fraud-investing-startups.html
- Four technologies that could transform the way risks are assessed and insurance claims are investigated and adjusted http://www.agcs.allianz.com/insights/expert-risk-articles/risk-innovation-new-tools-and-ways/ Drones, 3D mapping trolleys, thermographic cameras, hololens.
- The ESG Evolution Continues: France Issues Its First Sovereign Green Bond http://blog.pimco.com/2017/01/25/th...france-issues-its-first-sovereign-green-bond/ “How can a sovereign bond be green? In a sense, France’s green bonds fit into the existing sovereign bond ecosystem: The new issue is designed to share the same quality rating as its other comparable sovereign issues and to be equally as liquid. However, the new issue will also follow the green bond principles as defined by the International Capital Market Association (ICMA) – meaning the bonds enable capital-raising and investment for new and existing projects with environmental benefits.”
- Will Global Warming Make Hurricane Forecasting More Difficult? https://www.wunderground.com/blog/J...ing-make-hurricane-forecasting-more-difficult “Hurricanes are heat engines that take heat energy out of the oceans and convert it to the mechanical energy of wind. Thus, hurricane scientists are in broad agreement that global warming should make the strongest hurricanes stronger.”
- Wall Street Is Hiring ... in Florida https://www.bloomberg.com/news/articles/2017-01-25/wall-street-is-hiring-in-florida “It’s part of a Wall Street trend known as nearshoring, in which banks are moving operations away from expensive financial centers like New York to places such as Jacksonville and North Carolina’s Research Triangle. Also in Jacksonville are more than 19,000 employees of Bank of America, Citigroup, JPMorgan Chase, and Wells Fargo. Meanwhile, Goldman Sachs has established operations in Salt Lake City, and UBS has a site in Nashville. It’s a way to improve profitability without going overseas.”
- Designing the best risk management training for your company https://www.linkedin.com/pulse/designing-best-risk-management-training-your-company-sidorenko-crmp
- The sports injury that led to success (A specialist in financial risk management has built his Newry business into a global player) https://www.ft.com/content/7f2fcef6-c3b7-11e6-81c2-f57d90f6741a
- At Wells Fargo, Bank Branches Were Tipped Off to Inspections (Managers and employees at the bank’s roughly 6,000 branches across the U.S. typically had at least 24 hours’ warning about inspections conducted by risk employees) http://www.wsj.com/articles/at-wells-fargo-bank-branches-were-tipped-off-to-inspections-1485253800 “Banks are expected to have three lines of defense to spot irregularities or problems: its business executives, risk-management professionals and internal auditors. The board of directors is supposed to add another layer for checks and balances. It appears some of these were lacking at Wells Fargo, according to regulators … At Wells Fargo, retail-bank risk executives (some branch employees called them auditors) typically traveled district by district to check on branches, some current and former employees said. But retail-bank executives would usually receive anywhere from 24 to 72 hours’ notice of the inspections, and branch managers typically got one day’s heads up, these people said.”
- Samsung Galaxy Note 7 Crisis Signals Problems at Korea Inc. https://www.nytimes.com/2017/01/23/business/samsung-galaxy-note7-fires.html
- Protiviti’s 2016 Vendor Risk Management Benchmark Study Results Released https://blog.protiviti.com/2017/01/26/2016-vendor-risk-management-benchmark-study-results-released/
- Nonfinancial risk today: Getting risk and the business aligned http://www.mckinsey.com/business-fu...k-today-getting-risk-and-the-business-aligned “For the purposes of this article, nonfinancial risk is broadly defined as all risk that is not balance-sheet related (for example, excluding credit, foreign-exchange commodity-price, and liquidity risk). Nonfinancial risk comprises compliance risk (for instance, the requirement to adhere to all relevant rules and regulations, and operational risk, such as processes, production, tehchnology, and cyber risks).
- Principal Component Analysis in R https://poissonisfish.wordpress.com/2017/01/23/principal-component-analysis-in-r/ Did you realize PCA is used in image (so cool!) compression? http://www.aaronschlegel.com/image-compression-principal-component-analysis/
- NYSE changes its mind about favoring dark liquidity https://ftalphaville.ft.com/2017/01/25/2183155/nyse-changes-its-mind-about-favouring-dark-liquidity/
- Corruption Perceptions Index 2016: Vicious circle of corruption and inequality must be tackled http://www.transparency.org/news/pr...016_vicious_circle_of_corruption_and_inequali
- Risk.net’s Top 10 operational risks for 2017 http://www.risk.net/risk-magazine/feature/2480528/top-10-operational-risks-for-2017 “An overwhelming number of risk managers ranked the threat from cyber attacks as their top operational risk for 2017–the second year in a row it has topped the rankings, this year by an even larger margin.”
- Op risk survey shows the insidious effects of political risk (Rise in geopolitical turmoil drives other risk factors, suggests a network analysis of 2017's survey) http://www.risk.net/risk-magazine/o...shows-the-insidious-effects-of-political-risk
- Harvard Goes Back to Hedge Fund Basics https://www.bloomberg.com/gadfly/ar...ives-boost-to-hedge-funds-in-return-to-basics, and The Day Harvard Stopped Being a Hedge Fund by Barry Ritholtz https://www.bloomberg.com/view/articles/2017-01-26/the-day-harvard-stopped-being-a-hedge-fund
- Remember ABX? Wall Street Said to Test New Mortgage Index https://www.bloomberg.com/news/arti...l-street-said-to-test-new-mortgage-bond-index
