FRM Exam (week ending 5/1)
General
Risk (general risk-related news that I find relevant, or just interesting ... )
Derivatives
General
- Some advice and support on “how to combine FRM with work and life at home …” https://forum.bionicturtle.com/threads/i-can-use-advice-and-support.9511
- Sharing your practice exam results https://forum.bionicturtle.com/thre...and-actual-exam-result.7650/page-3#post-41895
- @puneet_ asks, Can the futures price ever be different than the spot price at contract expiration? https://forum.bionicturtle.com/threads/basis-risk-hull-notes-page-36.9517/
- @chirania highlights the difference between net interest margin (NIM) and return on assets (ROA) in Saunder’s on-balance-sheet foreign exchange (FX) hedge https://forum.bionicturtle.com/threads/p1-t3-502-foreign-exchange-fx-hedges.8809/#post-41801
- @Siqueue makes a great point that the sequence can matter if we simultaneously translate the day count basis and compound frequency https://forum.bionicturtle.com/threads/l1-t3-168-day-count-conventions.4553/page-3#post-41792
- @ellenlcy asks for clarification on why writing a covered call is short (position) gamma and buying a protective put is long gamma https://forum.bionicturtle.com/threads/p1-t4-401-option-gamma.7665/#post-41726
- @puneet_ introduces an instructive question, how to bootstrap a bond coupon rate https://forum.bionicturtle.com/threads/interest-rates.9506/
- @Deepak Chitnis shares a great explainer on the interpretation of QQ plot https://forum.bionicturtle.com/threads/qq-chart.9380/#post-41892
- @Kavita.bhangdia asks, how can we infer shape of the implied volatility curve based on distribution of asset returns https://forum.bionicturtle.com/threads/overvalued-undervalued-options.9522/
- If you purchase a 3-year, 9% coupon bond for $950, how much could it be sold for 2 years later if interest rates have remained stable? https://forum.bionicturtle.com/thre...uestion-if-interest-rates-remain-stable.9519/
- @Polina Bardaeva asks, What is leveraged yield (inherent to a credit-linked note, CLN)? https://forum.bionicturtle.com/threads/p2-t6-608-credit-derivatives-1td-cds-trs-cln-crouhy.9311/
- @Polina Bardaeva adds to the interpretation of incremental CVA versus marginal CVA https://forum.bionicturtle.com/thre...nd-marginal-credit-value-adjustment-cva.7826/
- @brian.field shares a somewhat shocking snippet from Choudhry’s Introduction to Securitization https://forum.bionicturtle.com/threads/securitization-post-credit-crunch.9507/
- Specific illustrations of Malz’ credit value at risk (CVaR) for a portfolio of bonds, including the unexpected result of a negative CVaR https://forum.bionicturtle.com/threads/cvar-calculation-doubt.9518/
- What happens to the “CDS Premium” when swap value shifts? https://forum.bionicturtle.com/threads/cds-premium.9523/
- @Delo asks for clarification on trade compression and @QuantMan2318 totally answers https://forum.bionicturtle.com/threads/trade-compression-gregory.9525/
- @Mkaim on goodwill amortization in RAROC https://forum.bionicturtle.com/threads/raroc-and-goodwill-amortization-depreciation.9515/
- @Mkaim makes a keen observation about the manner by which Dowd compounds exogenous and endogenous liquidity in liquidity-adjusted value at risk (LVaR) https://forum.bionicturtle.com/thre...-adjusted-value-at-risk-lvar.4732/#post-41912
- @Ace_Ashmant adds helpful clarification to Basel III capital ratio requirements https://forum.bionicturtle.com/threads/p2-t7-404-basel-iii-capital-ratios.7936/#post-41878
- @Kavita.bhangdia asks about high water marks https://forum.bionicturtle.com/threads/high-water-mark.9513/
- @Kavita.bhangdia asks about the difference between active return, active risk and active weight https://forum.bionicturtle.com/threads/various-actives-defined.9514/
- @Ace_Ashmant asks a super question, Is T^2 any different than Treynor measure? https://forum.bionicturtle.com/thre...d-m-2-and-t-squared-measures.5561/#post-41842
- @puneet_ observes that my interest rate swap value sign (+/-) is incorrect https://forum.bionicturtle.com/threads/is-it-error-in-spreadsheet-p1_t4-hull_ch7-swap-irs.9520/
- @bpdulog observes that I confused the common factor model with correlated random normals https://forum.bionicturtle.com/threads/p1-t2-503-one-factor-model-hull.8345/#post-41889
- Thank you @onion for helping me clarify exactly how (under what conditions) the CML is a special case of the SML(CAPM) https://forum.bionicturtle.com/threads/p1-t1-61-capital-market-line-elton-gruber.5273/#post-41933
Risk (general risk-related news that I find relevant, or just interesting ... )
Derivatives
- GARP responds with 11 risk management principles to an SEC request for comments on its proposed rule on the Use of Derivatives by Registered Investment Companies and Business Development Companies http://trtl.bz/0502-garp
- Oil Producers Lock In [i.e., Hedge] Once-Snubbed Prices http://www.wsj.com/articles/oil-producers-lock-in-once-snubbed-prices-1461490384 “In an about-face, companies are using hedges to lock in prices that they turned their noses up at a few months ago.”
- BlackRock’s tool for comparing sovereign credit risk https://www.blackrockblog.com/2016/04/29/sovereign-credit-risk/ “The bad news: Sovereign debt is now far from risk free. The good news: Comparing sovereign credit risk has never been easier. “
- A Disgraced Trader’s Struggle for Redemption, Alexis Stenfors’s investment-banking career evaporated when he lied about losses. Moving on hasn’t been easy http://www.wsj.com/articles/a-disgraced-traders-struggle-for-redemption-1461949767
- Inside Credit Suisse, Finger-Pointing and Confusion Over $1 Billion Loss http://www.wsj.com/articles/inside-...-and-confusion-over-1-billion-loss-1461868516
- The Uberization of Banking http://www.wsj.com/articles/the-uberization-of-banking-1461967266
- “Is Fintech Finally Gaining Ground?” http://knowledge.wharton.upenn.edu/article/is-fintech-finally-gaining-ground/
- Chatbot & The Rise of the Automated Insurance Agent http://www.the-digital-insurer.com/...ed-insurance-agent-aka-the-insurtech-chatbot/
- Digital Wallets: The Next Platform (& Where Startups Can Compete) http://a16z.com/2016/04/25/digital-wallets-fintech-platform/
- Alternative data: The Ascent to better risk management & financial inclusion http://www.capco.com/insights/capco...to-better-risk-management-financial-inclusion
- The new World Bank Data website at http://data.worldbank.org/about We’ve used this, it’s a great data source, check out all of the indicators http://data.worldbank.org/indicator
- WooTrader proves what startups can accomplish when they get the data they need https://www.quandl.com/blog/wootrader
- Podcast: Jim Chanos on the art of short-selling http://ftalphaville.ft.com/2016/04/25/2160002/podcast-jim-chanos-on-the-art-of-short-selling/ Here is the transcript (it's good!) http://trtl.bz/0502-chanos
- Active Share is a Fuzzy Number https://blogs.cfainstitute.org/investor/2016/04/26/active-share-is-a-fuzzy-number/ “Active share is the proportion of a portfolio’s holdings that is different from the benchmark for that portfolio.”
- Why investors may need to lower their sights http://www.mckinsey.com/industries/.../why-investors-may-need-to-lower-their-sights Here is the report at http://trtl.bz/0502-mckinsey
- The Rise of the Most Powerful Idea in Investing (the shift from active to passive-investment management) http://www.bloombergview.com/articles/2016-04-21/the-rise-of-the-most-powerful-idea-in-investing
- 180 Years of Market Drawdowns http://awealthofcommonsense.com/2016/04/180-years-of-market-drawdowns/ “In a sense risk is easier to predict than returns.”
- Will duration risk rear its head for bond investors? http://www.ft.com/intl/cms/s/0/63190934-0d0b-11e6-b41f-0beb7e589515.html#axzz47SKf3uqk
- Securitization (FT explainer): Phone-backed bonds set for US debut http://www.ft.com/intl/cms/s/0/a0c36b48-0ae6-11e6-9456-444ab5211a2f.html#axzz47SKf3uqk “Already significant in Japan, analysts estimate the securitization of mobile phone payments in the US could quickly grow to be the third-largest consumer finance market behind car loans and credit cards.”
- 15 Fascinating Quantitative Hedge Fund Strategies http://www.clarityspring.com/15-fascinating-quantitative-hedge-fund-strategies/
- Week 5: Foreign Exchange - How to Predict Future Rates - Forwards and Swaps https://www.linkedin.com/pulse/week-5-foreign-exchange-how-predict-future-rates-warner-cfa
- A better way to understand internal rate of return (IRR) by McKinsey & Company http://www.mckinsey.com/business-fu...ter-way-to-understand-internal-rate-of-return
- (New book) The New Era of Regulatory Enforcement: A comprehensive guide to mitigating risk and achieving high-level business performance in today’s regulatory and enforcement environment https://advisory.kpmg.us/risk-consulting/forensics/new-era-regulatory-enforcement.html
- How to Best Fight a Cyberattack http://blogs.wsj.com/riskandcomplia...g-risk-report-how-to-best-fight-a-cyberattack “95% of breaches, and 86% of incidents, are covered by just nine patterns.” Here is Verizon’s Exec Summary http://trtl.bz/0502-verison-dbir
- Understanding Your Board’s View of Risk http://www.marshclearsight.com/understanding-boards-view-risk/ Their report is here at http://trtl.bz/0502-marsh
- Norman Marks on the search for effective risk appetite statements https://normanmarks.wordpress.com/2016/04/30/the-search-for-effective-risk-appetite-statements/
- How to Create a Top-Notch Compliance Program http://blogs.wsj.com/riskandcompliance/2016/04/25/how-to-create-a-top-notch-compliance-program/ Here is the Executive Summary at http://trtl.bz/0502-eci-exec and here is the final report at http://trtl.bz/0502-eci-final
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