New Practice Question sets
- P1.T1.700. Key factors that led to the housing bubble (Brunnermeier) https://forum.bionicturtle.com/thre...led-to-the-housing-bubble-brunnermeier.10067/
- P2.T6.700. Credit risk classifications (De Laurentis) https://forum.bionicturtle.com/threads/p2-t6-700-credit-risk-classifications-de-laurentis.10069/
- P1.T1.701. Amplifying mechanism and recurring themes in the global financial crisis (Brunnermeier) https://forum.bionicturtle.com/thre...e-global-financial-crisis-brunnermeier.10077/
- P2.T6.701. Unexpected loss and return on risk-adjusted capital (RARORAC) (De Laurentis) https://forum.bionicturtle.com/thre...-adjusted-capital-rarorac-de-laurentis.10079/
- Added to the FAQ (with graph): What is the pass rate for the FRM? https://forum.bionicturtle.com/threads/what-is-the-pass-rate-for-the-frm.10093/
- Understanding the impact of default correlation on credit value at risk (CVaR) https://forum.bionicturtle.com/threads/effect-of-default-probability-on-equity-and-mezzanine.8144
- Finally somebody explains to how reconcile S&W’s two versions of homoskedastic-only F-statistic (because I just did not see it!) https://forum.bionicturtle.com/threads/p1-t2-222-homoskedasticity-only-f-statistic.5480/#post-47131
- Emilio gives an excellent explanation of alpha https://forum.bionicturtle.com/thre...harpe-and-alpha-calculations.7506/#post-47066
- Emilio again on the Jarque-Bera https://forum.bionicturtle.com/threads/l1-t2-93-jarque-bera.3885/#post-47048
- What is the difference between credit value at risk (CVaR) and potential future exposure (PFE)? https://forum.bionicturtle.com/threads/potential-future-exposure.2022/#post-47274
- About my question writing style (for certain types of qualitative questions) https://forum.bionicturtle.com/thre...nancial-crisis-brunnermeier.10077/#post-47358
- Talking about Sharpe ratio sample size and risk denominators https://forum.bionicturtle.com/thre...ratio-information-ratio-beta-and-alpha.10070/
- Have you taken the Energy Risk Professional (ERP) exam? If so, can you share your experience https://forum.bionicturtle.com/threads/garp-erp-energy-risk-exam.10073/
- Long hedge (short the basis) versus short hedge (long the basis) https://forum.bionicturtle.com/threads/basis-risk-strengthening-weaking.7623/#post-47412
- Basel postpones bank reform vote amid policy differences (Global financial supervisors fail to agree on latest capital rules) https://www.ft.com/content/589f1ce0-d1a1-11e6-9341-7393bb2e1b51 “The long-awaited meeting was expected to sign off a series of reforms intended to make it harder for banks to avoid the higher Basel III capital requirements that were put in place after the financial crisis … The main sticking point between supervisors in the US and their European counterparts is the so-called output floor that limits the extent to which banks can use their own models to calculate the riskiness of their lending. The floor in effect prevents them from using risk estimates that are too far below the outputs of a standardised model devised by regulators.” (Here is the uninformative BIS press release https://www.bis.org/press/p170103.htm) and reported by risk.net http://www.risk.net/risk/news/2479886/basel-iii-completion-date-pushed-back
- Eurasia Group’s Top Risks 2017 http://www.eurasiagroup.net/issues/top-risks-2017 Bloomberg on the report https://www.bloomberg.com/news/arti...e-from-trump-to-china-seen-in-2017-by-eurasia Here is the report http://trtl.bz/2j86MSW
- What’s behind China’s stabilizing growth https://www.blackrockblog.com/2017/01/06/china-stabilizing-growth/
- [Platinum Partners] No One Questioned This Hedge Fund’s Madoff-Like Returns https://www.bloomberg.com/news/arti...dots-as-platinum-reported-madoff-like-returns
- This Blockchain Thing Is Really Happening, Time To Learn What It Is: 2016 In Review https://www.fastcoexist.com/3066498...ening-time-to-learn-what-it-is-2016-in-review
- Bitcoin Price Soars, Fueled by Speculation and Global Currency Turmoil http://www.nytimes.com/2017/01/03/b...-speculation-and-global-currency-turmoil.html “a tilt toward isolationism that has emerged in American and European politics — highlighted by Donald J. Trump’s election victory — has given a new sheen to a currency that can move between countries with little oversight.”
- Natural catastrophe losses at their highest for four years https://www.munichre.com/en/media-r...ases/2017/2017-01-04-press-release/index.html "The high number of flood events, including river flooding and flash floods, was exceptional and accounted for 34% of overall losses, compared with an average of 21% over the past ten years ... A look at the weather-related catastrophes of 2016 shows the potential effects of unchecked climate change. Of course, individual events themselves can never be attributed directly to climate change. But there are now many indications that certain events – such as persistent weather systems or storms bringing torrential rain and hail – are more likely to occur in certain regions as a result of climate change," explained Peter Höppe, Head of Munich Re’s Geo Risks Research Unit.
- Transforming the Nation’s Electricity System (Second Installment of the Quadrennial Energy Review) https://energy.gov/epsa/quadrennial-energy-review-qer
- Think Like a Futurist to Be Prepared for the Totally Unexpected (The art and science of futuring is fast becoming a necessary skill, where we read signals, see trends and ruthlessly test our own assumptions) http://www.wsj.com/articles/think-l...repared-for-the-totally-unexpected-1483272006 “Futurists are relentlessly critical of their own assumptions. Once you’re done coming up with wild-eyed notions about what changes might arise as a result of various forces, you tear apart your own work.”
- [Book review] Rethinking Reputational Risk https://www.ft.com/content/f9c5b83c-d1a5-11e6-b06b-680c49b4b4c0 “Their book offers a thorough analysis of the many ways in which apparently unexpected crises can destroy businesses and reputations. Boards, chief executives and their managers may believe they have a firm grip on the risks they face. They should think again … The book contains a series of detailed case studies of some of the best-known corporate crises of recent years, including Barclays, BP, AIG and Tesco, among others. The authors draw more than 30 lessons from their schadenfreude-free research.”
- [Book review] The Power and Independence of the Federal Reserve https://blogs.cfainstitute.org/inve...ower-and-independence-of-the-federal-reserve/
- Datacamp is offering 50% off its one year subscription but only for two more days https://www.datacamp.com/promo/new-year I love datacamp, it has been instrumental in my development as a data scientist. I have completed fifteen (15) of their courses. Highly recommended if you want to add code proficiency to your capabilities.
- The Champions of the 401(k) Lament the Revolution They Started (The dominant vehicle for retirement savings has fallen short of its early backers’ rosy expectations; longer life spans, high fees and stock-market declines) http://www.wsj.com/articles/the-champions-of-the-401-k-lament-the-revolution-they-started-1483382348 “Fifty-two percent of U.S. households are at risk of running low on money during retirement, based on projections of assets, home prices, debt levels and Social Security income, according to Boston College’s Center for Retirement Research. That is up from 31% of households in 1983. Roughly 45% of all households currently have zero saved for retirement, according to the National Institute on Retirement Security.”
- Risk measurement: A call for standards by Carl Bacon http://www.risk.net/risk/opinion/2479774/risk-measurement-a-call-for-standards “Of course, there are big differences between the measurements of performance and risk. While every security and fund is subject to a consistent measure of performance – profit and loss – a relevant measure of risk for one security or strategy may be quite irrelevant to another. Still, there is consensus on the use of some measures, even if they form an imperfect and incomplete list: exposure, volatility, beta, correlation, value-at-risk, first- and second-order Taylor expansions like delta, gamma, duration and convexity, among others. Standards like Gips focus on ex-post risk and return measures with quantitative analysis of what has already happened. Extending such standards to the realm of ex-ante measures will be a challenge because of the inherent diversity of methodologies and the uncertainty in forecasted measures. It is more difficult to establish efficacy of a given measure if it is predictive rather than historical.”
- Minutes of the Federal Open Market Committee (December 13-14, 2016) https://www.federalreserve.gov/monetarypolicy/fomcminutes20161214.htm Commentary at http://blog.pimco.com/2017/01/04/fed-minutes-tilting-more-hawkish/
- America’s Roster of Public Companies Is Shrinking Before Our Eyes http://www.wsj.com/articles/america...anies-is-shrinking-before-our-eyes-1483545879 “The U.S. is becoming de-equitized, putting some of the best investing prospects out of the reach of ordinary Americans … The number of U.S.-listed companies has declined by more than 3,000 since peaking at 9,113 in 1997, according to the University of Chicago’s Center for Research in Security Prices. As of June, there were 5,734 such public companies, little more than in 1982, when the economy was less than half its current size. Meanwhile, the average public company’s valuation has ballooned.”
- Anti-GAAP reporting proves a growing menace https://www.ft.com/content/94e0f54e-d3c1-11e6-9341-7393bb2e1b51
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