New practice questions
- P1.T3.704. Insurance company regulations and pension funds (Hull) https://forum.bionicturtle.com/thre...any-regulations-and-pension-funds-hull.10278/
- P1.T3.705. Mutual funds (Hull) https://forum.bionicturtle.com/threads/p1-t3-705-mutual-funds-hull.10283/
- P2.T9.700. What is Bitcoin and what are bitcoins? https://forum.bionicturtle.com/threads/p2-t9-700-what-is-bitcoin-and-what-are-bitcoins.10281/
- P2.T9.701. Bitcoin risks and regulation https://forum.bionicturtle.com/threads/p2-t9-701-bitcoin-risks-and-regulation.10286/
- Dummy variables in seasonality (and problems with the Durbin-Watson) https://forum.bionicturtle.com/thre...o-model-seasonality-diebold.10131/#post-48602
- What is partial autocorrelation? https://forum.bionicturtle.com/threads/p1-t2-506-covariance-stationary-time-series.8391/
- Risk-neutral probabilities cause the expected discounted value to equal the market price https://forum.bionicturtle.com/thre...iod-interest-rate-tree.3563/page-2#post-48544
- Poisson approximates the binomial https://forum.bionicturtle.com/threads/l1-t2-111-binomial-poisson.3968/page-3#post-48540
- Impact of margin on the economic balance sheet https://forum.bionicturtle.com/threads/p2-t7-510-balance-sheet-leverage-malz.8387/#post-48497
- Asian options https://forum.bionicturtle.com/thre...ch26_exoticoptions_topic-asian-options.10271/
- Oops, We meant to say “credit limits” not “credit lines.” Thank you @Srilakshmi https://forum.bionicturtle.com/thre...ounterparty-risk-gregory-2-4.7146/#post-48419
- Regulatory VaR dataset update requirements https://forum.bionicturtle.com/thre...k-approaches-under-basel-iii.7932/#post-48588
- Basel III’s IRC versus CRM https://forum.bionicturtle.com/threads/p2-t7-409-basel-iii-market-risk.7968/#post-48524
- PCA on yield curve https://forum.bionicturtle.com/threads/principal-component-analysis.9225/#post-48569
- How dollar-based VaRs already include percentage weights https://forum.bionicturtle.com/thre...-risk-var-topic-review.7700/page-2#post-48562
- Typos in 2017 FRM Part 2 Practice Exam https://forum.bionicturtle.com/threads/typos-in-2017-frm-part-2-practice-exam.10290/
- The bank has a position on USDRUS options that has a delta of $2m and a gamma of $0.4m (per 1% move). The USDRUS exchange rate is 14.2. What position would you take to make the position delta neutral? https://forum.bionicturtle.com/threads/delta-hedge.5654/#post-48650
- Can a secured creditor sell the collateral without necessarily initiating bankruptcy proceedings? https://forum.bionicturtle.com/threads/p2-t6-400-definition-and-components-of-credit-risk.7634/
- Thought-provoking question: A 95% VaR measure that assumes normal distribution cuts off at 1.65 critical z. If an alternative distribution entails a 95% VaR at 1.56, is is safe to assume it exhibits thinner tails? https://forum.bionicturtle.com/threads/var-and-distribution.10289/
- Thank you @ShaktiRathore for your wonderful help! ... on Zone of convergence https://forum.bionicturtle.com/threads/zone-of-convergence.10275 and Exchange options https://forum.bionicturtle.com/thre...26_exoticoptions_topic-exchange-options.10257 and Covariance (with the always friendly, smart and awesome @brian.field ) https://forum.bionicturtle.com/threads/difference-between-covariance-and-var-x-y.10276
- Thank you @emilioalzamora1 for youur depth and help, including factor correlation https://forum.bionicturtle.com/threads/p1-t2-705-correlation-hull.10172 and even calculator help https://forum.bionicturtle.com/thre...rket-line-elton-gruber.5273/page-2#post-48638
- BIS Quarterly Review, March 2017 http://www.bis.org/publ/qtrpdf/r_qt1703.htm and a smart blog “On faster payments and totalitarian systems” https://ftalphaville.ft.com/2017/03/06/2185500/on-faster-payments-and-totalitarian-systems/
- Politics Matters — Sometimes (CFA Institute) https://blogs.cfainstitute.org/investor/2017/03/09/politics-matters-sometimes/
- How to Assess Terrorism Risk Quantitatively and Qualitatively http://www.air-worldwide.com/Blog/How-to-Assess-Terrorism-Risk-Quantitatively-and-Qualitatively/
- Anti-Money Laundering: An Overview for Congress http://trtl.bz/crs-aml-030117
- CFPB exams: deposit exams on the radar (PwC Regulatory Brief) http://trtl.bz/2ngpm0A
- Iceland Exits Krona Controls Eight Years After Banking Crash https://www.bloomberg.com/news/arti...na-controls-more-than-eight-years-after-crash
- Blockchain: A Better Way to Track Pork Chops, Bonds, Bad Peanut Butter? https://www.nytimes.com/2017/03/04/business/dealbook/blockchain-ibm-bitcoin.html
- Bitcoin, Gold and the Risks of Bum Comparisons https://www.bloomberg.com/view/articles/2017-03-06/bitcoin-gold-and-the-risks-of-bum-comparisons
- A blockchain in 200 lines of code https://medium.com/@lhartikk/a-blockchain-in-200-lines-of-code-963cc1cc0e54#.3isbgswi6 “The basic concept of blockchain is quite simple: a distributed database that maintains a continuously growing list of ordered records. However, it is easy to get mixed up as usually when we talk about blockchains we also talk about the problems we are trying to solve with them. This is the case in the popular blockchain-based projects such as Bitcoin and Ethereum.”
- The Blockchain Will Do to the Financial System What the Internet Did to Media https://hbr.org/2017/03/the-blockchain-will-do-to-banks-and-law-firms-what-the-internet-did-to-media
- Time for insurance companies to face digital reality http://www.mckinsey.com/industries/...r-insurance-companies-to-face-digital-reality
- This Insurance Startup Wants to Cover Tomorrow’s Self-Driving Cars https://backchannel.com/this-insura...ows-self-driving-cars-638c5ffc0d91#.wxfqwsuao
- A New York startup shakes up the insurance business http://www.economist.com/news/finan...d-after-soft-drink-new-york-startup-shakes-up “Insurance, the founders [of Lemonade] reasoned, suffers from misaligned incentives. Every dollar paid out comes from insurers’ pockets, encouraging poor behaviour. Normally upright people have few qualms about defrauding their insurer (as 25% of Americans do), pushing up premiums. Lemonade’s solution is to take 20% of premiums as a fee and to reward under-claiming customers by giving a share of unused income to a chosen charity.
- WikiLeaks, the CIA and your devices: what the documents reveal https://www.ft.com/content/81bbb106-0388-11e7-ace0-1ce02ef0def9 “Assuming the documents are genuine, the CIA has an arsenal of malware it can use to break into widely used electronic gadgets. These include the iPhone, devices running Google’s Android software and smart TVs such those made by Samsung. The most powerful of these weapons are “zero day” exploits--code that takes advantage of flaws in the software that no one else has spotted, potentially creating secret back doors that can be used over long periods.”
- Understanding and minimizing drone risks (Crashing Drones Into Test Dummies for Safety) https://www.bloomberg.com/news/features/2017-03-09/crashing-drones-into-test-dummies-for-safety
- Deep Dive: Payments https://tech.affirm.com/deep-dive-payments-60f5d17f6c71#.3z7e0oqy4
- What’s Really Warming the World? https://www.bloomberg.com/graphics/2015-whats-warming-the-world/
- Six irrefutable pieces of evidence that prove climate change is real http://www.popsci.com/evidence-climate-change-is-real
- Joint Climate Bonds & CCCEP-LSE Report: How to grow green securitisation in Europe https://www.climatebonds.net/2017/0...grow-green-securitisation-europe-now-released
- Online MBAs: digital degrees come of age https://www.ft.com/content/4e1934a8-f47a-11e6-95ee-f14e55513608
- At JPMorgan, Your Performance Review Is Now. And Now. And Now... https://www.bloomberg.com/news/arti...our-performance-review-is-now-and-now-and-now
- A.I.G. Needs a New, Risk-Focused C.E.O. Right Away https://www.nytimes.com/2017/03/09/...-needs-a-new-risk-focused-ceo-right-away.html “The big failing of Mr. Hancock, the former JPMorgan Chase chief risk officer who succeeded Mr. Benmosche in 2014, was to never bring under control the way the insurer priced risk.”
- Wall Street’s Volatility Pioneer Searches for Latest Fear Trade (A researcher whose work foreshadowed the VIX now has his eye on an entirely different barometer of market uncertainty--ambiguity) https://www.wsj.com/articles/wall-s...neer-searches-forlatest-fear-trade-1489141809
- Stephen Ross, Economist Who Developed Arbitrage Pricing Theory, Dies at 73 https://www.nytimes.com/2017/03/09/business/economy/stephen-ross-dead-economic-theorist.html
- Quandl Launches New Search and Browse https://blog.quandl.com/quandl-launches-new-search-browse
- Toughest Gig for the Self-Employed? Retirement Planning https://www.wsj.com/articles/toughest-gig-for-the-self-employed-retirement-planning-1489141803
- Credit Reports to Exclude Certain Negative Information, Boosting FICO Scores (Changes could improve credit scores for millions of consumers, may pose risks for lenders) https://www.wsj.com/articles/credit...e-information-boosting-fico-scores-1489338002
- What Do Economists Actually Know? (Turns out, not as much as you — and they — would like to think) https://shift.newco.co/what-do-economists-know-199bf5793ae6#.ym0swc5b7
- 10 Breakthrough Technologies 2017 (MIT) https://www.technologyreview.com/lists/technologies/2017/
- Automate Investigations for Better Compliance (A good place to start in applying technology to financial crime and risk management processes) by Donna Weiss for GARP http://garp.org/#!/risk-intelligenc...EA4/automate-investigations-better-compliance
- State Street to Start Voting Against Companies That Don’t Have Women Directors https://www.wsj.com/articles/state-...ies-that-dont-have-women-directors-1488862863
- Snap’s Experiment in Totalitarian Capitalism https://www.bloomberg.com/view/articles/2017-03-06/snap-s-experiment-in-totalitarian-capitalism
- Other Comprehensive Income (Colgate example) by WallStreetMojo http://www.wallstreetmojo.com/other-comprehensive-income/
- Shame on Silicon Valley's Stock Expense Stragglers https://www.bloomberg.com/gadfly/ar...itter-still-prefer-non-gaap-fiction-over-fact
- The Periodic Table of Risk Elements https://www.openriskdashboard.com/periodic_table/
- What's Wrong With My Time Series http://multithreaded.stitchfix.com/blog/2017/02/28/whats-wrong-with-my-time-series/
- Forecasting Stock Returns using ARIMA model https://www.quantinsti.com/blog/forecasting-stock-returns-using-arima-model/
- Stationarity and Investing: What Can We Learn from History? http://wbcornell.blogspot.com/2016/12/stationarity-and-investing-what-can-we.html
- Monte-Carlo Simulating The Hearthstone Ladder https://medium.com/@xLeitix/monte-carlo-simulating-the-hearthstone-ladder-994ee504a1ac#.xt83p4uq2
- How to Estimate a Death Toll (To scope a disaster, do you need an entire list of names or just a single popular one?) https://perplex.city/how-to-estimate-a-death-toll-8e9c43a363db#.2s8749a7f “This approach is sometimes called the Multiplier Method, and it’s a common way to approximate unseen members of a group. It’s the basis of the old housekeeping adage that if you see one cockroach there are likely hundreds hidden, and also actual studies that attempt to uncover the number of people engaged in illegal or stigmatized behavior.”
- How to interpret confidence intervals http://andrewgelman.com/2017/03/04/interpret-confidence-intervals/
- Benefits and Risks of Central Clearing in the Repo Market https://www.financialresearch.gov/briefs/2017/03/09/ccp-for-repos/
- Credit rating agency reform is incomplete https://www.brookings.edu/research/credit-rating-agency-reform-is-incomplete/
- Central Banks Ratchet Up Foreign-Currency Reserves (External reserves are a form of insurance for sovereigns against crisis and defaults says an analyst) https://www.wsj.com/articles/why-central-banks-are-stockpiling-foreign-reserves-1488914148
- New Force on Wall Street: The Family Office (Clans with nine-figure fortunes are increasingly investing through unregulated firms known as family offices, impinging on the business of investment banking and private equity) https://www.wsj.com/articles/the-new-force-on-wall-street-family-offices-1488991396
- Options Trading Pioneer Blames Retreat on Fast-Trading ‘Sharpshooters’ (Thomas Peterffy, once on cutting edge of trading technology, announces Interactive Brokers Group’s exit from options market-making business) https://www.wsj.com/articles/option...reat-on-fast-trading-sharpshooters-1489099725
- What You Need to Know About “DEEP” Data Feeds & IEX http://www.martinkronicle.com/2017/03/10/deep-data-feeds-iex/
- Exchange rate prediction redux: new models, new data, new currencies http://ritholtz.com/2017/03/exchange-rate-prediction-redux-new-models-new-data-new-currencies/ Paper here http://trtl.bz/2n1R40P
- Explaining a Paradox: Why Good (Bad) Companies can be Bad (Good) by Professor Aswath Damodaran Investments!http://aswathdamodaran.blogspot.com/2017/03/explaining-paradox-why-good-bad.html
- January 2017 Data Update 10: The Pricing Game! http://aswathdamodaran.blogspot.com/2017/03/january-2017-data-update-10-pricing-game.html
- CDS markets signal rising fear of euro breakup https://ftalphaville.ft.com/2017/03...s-markets-signal-rising-fear-of-euro-breakup/ The ISDA basis! “Since 2014 two types of sovereign CDS therefore coexist: the old (ISDA 2003) and the new (ISDA 2014). The latter has always traded at spreads wider than the CDS-2003, but the difference (the ISDA basis) has generally been small: 15-20 bps for Italy, 8-12 bps for Spain, 2-4 bps for France, and 1-2 bps for Germany. The width of the spread between the two types of CDS--the ISDA basis--reflects both the perceived risk of redenomination risk and, in addition, the potential scope for depreciation in the event of a return to a national currency. This year, something has changed. Since late January, the ISDA basis has rocketed upwards in the major Eurozone economies, indicating that investors perceive greater redenomination risk than before.” Matt Levine explains: “The key lesson is that when you are trading CDS you are betting on contract interpretation at least as much as you are betting on credit. What matters in a CDS trade is not just the general idea of "credit protection," but the specific workings of the instrument that determine when and how you'll actually get paid” https://www.bloomberg.com/view/articles/2017-03-07/quant-hiring-and-friendly-tippers
- Covenant Review enjoys the limelight http://www.ifre.com/covenant-review-enjoys-the-limelight/21282509.article
- Everything You Wanted to Know About Bond Workouts But Were Afraid to Ask http://www.creditslips.org/creditsl...out-bond-workouts-but-were-afraid-to-ask.html
- Identifying and Mitigating Operational Risk through Data Analytics (GARP) http://www.garp.org/#!/risk-intelligence/technology/data/a1Z40000003PMBtEAO
- The Golden Age of Hedge Funds https://blogs.cfainstitute.org/investor/2017/03/06/the-golden-age-of-hedge-funds/
- Here's What Happens to Endowments When Colleges Close https://www.bloomberg.com/news/arti...of-dead-schools-bedevil-states-across-america
- Using arithmetic instead of econometrics https://abnormalreturns.com/2017/03/07/using-arithmetic-instead-of-econometrics/ “Really the low-vol effect should be called the high-risk anomaly. This is because the relative outperformance of low volatility stocks is premised on the the underperformance of the high-vol, beta, etc. stocks.”
- Visualizing the Anxiety of Active Strategies https://blog.thinknewfound.com/2017/03/visualizing-anxiety-active-strategies/
- Inside New York’s Pension-Fund Scandal: What Went Unchecked (Recommendations to shore up controls weren’t followed for years) https://www.wsj.com/articles/inside-new-yorks-pension-fund-scandal-what-went-unchecked-1489157114
- Your Pension Check May Soon Be Coming From an Insurance Company https://www.wsj.com/articles/that-pension-you-earned-may-soon-be-coming-from-someone-else-1489342032 “Now the prospect of higher U.S. interest rates is providing another spur to the little-known business of transferring pension risk. Under the complex math used to calculate liabilities, higher rates generally make it less expensive for employers to offload pension obligations.”
- It’s Time for a Revolution in Investor Disclosures http://blogs.wsj.com/moneybeat/2017/03/10/its-time-for-a-revolution-in-investor-disclosures/ “Simulations — video-game-like displays animating the range of outcomes based on past experience — could convey risk and return more memorably than words or numbers can do.”
- Crowdfunding Critiqued at SEC Session (Due-diligence and valuation concerns may call for tighter standards and oversight, GARP) http://www.garp.org/#!/risk-intelligence/culture-governance/compliance/a1Z40000003PMCrEAO
- Fed May Take Legal Action Against ‘London Whale’ (Former J.P. Morgan trader Bruno Iksil could face a permanent ban from working in finance) https://www.wsj.com/articles/fed-may-press-charges-against-london-whale-1488823089 One of the T7.Crouhy Learning Objectives is “Explain the impact of model risk and poor risk governance in the 2012 London Whale trading loss and the 1998 collapse of Long Term Capital Management” and, did you know, the JPMorgan Chase whale trade was assigned in the 2014 FRM Syllabus (as a Current Issue). The 2014 Current Issues assignment for the Whale Trade was the Senate's Subcommittee report which is here http://trtl.bz/2n25uOt
- The London Whale resurfaces: Bruno Iksil speaks out (Regulators and JP Morgan have had their say, now the former trader gives his version of events in an exclusive interview with FN) https://www.fnlondon.com/articles/the-london-whale-resurfaces-bruno-iksil-speaks-out-20170306
- The Blockchain (R)evolution (The Swiss Perspective) https://www2.deloitte.com/ch/en/pages/innovation/articles/the-blockchain-revolution.html Whitepaper is here http://trtl.bz/2mEDP55
- SEC Denies Winklevoss Application for a Bitcoin ETF (Attempt was for first exchange-traded fund to track price of digital currency) https://www.wsj.com/articles/sec-denies-winklevoss-application-for-bitcoin-exchange-1489180530
- Shortcuts to Factor Investing 101 https://blogs.cfainstitute.org/investor/2017/03/02/shortcuts-to-factor-investing-101/
- At PwC trial, Corzine defends bet that led to MF Global demise http://www.reuters.com/article/us-mfglobal-pricewaterhouse-idUSKBN16G2RE MF Global was an FRM Current Issue reading assignment in 2014. If you are interested here is the Staff Report that we studied http://trtl.bz/2nxgr78
- IOSCO adamant bond liquidity has not declined http://www.thetradenews.com/Asset-C...OSCO-adamant-bond-liquidity-has-not-declined/ Report is here http://trtl.bz/2lTSzyd
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