New practice questions
- P1.T2.710. Mean and standard deviation (Miller, Ch.3) http://trtl.bz/2ircG5U
- P2.T5.709. Coherent risk measures (Dowd, Ch.3) http://trtl.bz/2gARJ8h
- What is the (Basic) Historical Simulation approach to value at risk (VaR, FRM T1-5)? http://trtl.bz/2gBOi0M
- What is bootstrap historical simulation (FRM T1-6)? http://trtl.bz/2yJaCwg
- [P1.T1] Does a security on the SML have a correlation of one with the market? https://forum.bionicturtle.com/thre...ree-factor-model-bodie.7500/page-2#post-53691
- [P1.T2] We can use CLT for a test of the sample default rate https://forum.bionicturtle.com/thre...-interval-stock-watson.5318/page-4#post-53592
- [P1.T3] Using the Eurodollar futures quote to extend the zero rate curve https://forum.bionicturtle.com/thre...tion-based-hedges-hull.4570/page-3#post-53713
- [P1.T3] Hull’s EOC question 4-30 on the valuation of a forward rate agreement illustrated https://forum.bionicturtle.com/threads/hull-4-30-forward-rate-agreement.11513/
- [P1.T3] Cost of carry and the role of the dividend https://forum.bionicturtle.com/thre...mal-backwardation-hull.4547/page-2#post-53680
- [P1.T3] Thank you @akcfa447 for the distinction between FDIC insurance, which is pre-funded, and the insurance guaranty assocation https://forum.bionicturtle.com/thre...ions-and-pension-funds-hull.10277/#post-53322
- [P1.T3] Conditional versus unconditional survival/death probabilities in mortality table https://forum.bionicturtle.com/thre...nce-products-and-mortality-tables-hull.10259/
- [P1.T4] For historical simulation, how do we know when to interpolate? https://forum.bionicturtle.com/thre...-estimation-approaches-allen.7187/#post-53701
- [P2.T5] More detail on the calculation of VaR and ES under EVT POT approach https://forum.bionicturtle.com/threads/l2-t5-87-peaks-over-threshold-pot-dowd.3855/page-2#post-53702
- [P2.T5] Convexity with the calculator https://forum.bionicturtle.com/threads/convexity-and-v-v.11259/
- [P2.T5] Thank you @RaDi7 for correction on VaR historical simulation https://forum.bionicturtle.com/threads/p2-t5-700-value-at-risk-var-basics.10532/
- [P2.T5] Tuckman’s two different option prices are the key to the whole thing: expected discounted value versus risk-neutral https://forum.bionicturtle.com/threads/l2-t5-40-replicating-callable-bond-tuckman.3551/page-3
- [P2.T5] Mapping delta and vega in options https://forum.bionicturtle.com/threads/l2-t5-67-mapping-options-jorion.3638/page-2#post-53712
- [P2.T6] On the distinction between information asymmetry and adverse selection https://forum.bionicturtle.com/thre...age-securitizations-ashcraft.3933/#post-53316
- [P2.T6] What is margin step-up https://forum.bionicturtle.com/threads/margin-stepup.10478/
- [P2.T7] Thank you @champ123 for the correction to RAROC https://forum.bionicturtle.com/threads/p2-t7-706-economic-capital.10721/#post-53486
- [P2.T7] How do we know when VaR is normal/lognormal and relative/absolute? https://forum.bionicturtle.com/threads/garp-2011-p2-e1-13.11596/
- [P2.T8] More on active risk (aka, tracking error) and its ex ante calculation https://forum.bionicturtle.com/thre...on-frm-handbook-topic-review.7723/#post-53488
- [P2.T8] Internal rate of return (IRR) with the calculator https://forum.bionicturtle.com/thre...weighted-returns-bodie.5529/page-3#post-53609
- [P2.T8] Do factors get arbitraged away? https://forum.bionicturtle.com/threads/p2-t8-700-theory-of-factor-risk-premiums-andrew-ang.10154/
- [P2.T8] In Jorion’s portfolio VaR, the mechanics of risk minimization versus risk-adjusted return optimization https://forum.bionicturtle.com/thre...e-at-risk-var-methods-jorion.4794/#post-53602 and does GARP test this? https://forum.bionicturtle.com/threads/jorion-chapter-7-portfolio-risk-analytical-methods.11586/
