New practice questions
- P1.T4.805. Linear and non-linear derivative value at risk (VaR) (Allen) http://trtl.bz/2HgL3nt
- P2.T9.806. FinTech credit markets http://trtl.bz/2Hj2fsr
- The p value is the exact significance level (FRM T2-12) http://trtl.bz/2GiP4Io
- Basis risk is about an unexpected weakening or strengthening (FRM T3-5) http://trtl.bz/2p3fNBz
- [P1.T2] The effect of a lower lambda (λ) in EWMA https://forum.bionicturtle.com/threads/ewma-model-returns.13752/
- [P1.T2] The observed default rate in a basket of credits is a sample mean such that the central limit theorem applies http://trtl.bz/2FDF9PN
- [P1.T2] The subtle different between variance of the number of defaults and the default rate (which is an sample average) http://trtl.bz/2FDF9PN
- [P1.T2] Binomial backtest and normal approximation, thank you @QuantMan2318 https://forum.bionicturtle.com/thre...wo-tailed-hypothesis-tests-miller-ch-7.13420/
- [P1.T2] Why does the GARCH correlation update employ two (or three) different omegas? https://forum.bionicturtle.com/threads/correlation-update-and-volatility-forcasting.13758/
- [P1.T2] Can the exam realistically ask for p-values? https://forum.bionicturtle.com/thre...e-in-the-mean-and-variance-miller-ch-7.13391/
- [P1.T2] Thank you @FlorenceCC for identifying my accept/reject mistakes with impeccable logic! https://forum.bionicturtle.com/thre...-two-tailed-hypotheses.7118/page-2#post-58579
- [P1.T3] Thank you @lRRAngle for identifying an assumption omission in our hedge question http://trtl.bz/2Hjwi3f
- [P1.T3] Can we assume bond portfolios are long such that hedge trades should be short? http://trtl.bz/2FI0yHX
- [P1.T3] Positive (modified) duration implies a net long bond position http://trtl.bz/2FI0yHX
- [P1.T3] How can we understand convexity decreasing with yield? Thank you @QuantMan2318, again! https://forum.bionicturtle.com/threads/l1-t3-161-bond-duration-convexity-hull.4522/page-3#post-58545
- [P1.T3] Unlike stated spot rates, discount factors (df) “do not lie:” they incorporate the compound frequency http://trtl.bz/2p2y9mi
- [P1.T3] Solving for Hull’s par yield formula http://trtl.bz/2p3cU3P
- [P1.T4] Applying Taylor Series to long or short positions in options or bonds https://forum.bionicturtle.com/thre...lue-at-risk-var-topic-review.6187/#post-58481
- [P1.T4] Effective duration does not really have different versions, they are all retrieving the slope of a secant (which approximates the tangent) line http://trtl.bz/2DijlnR
- [P1.T4] Thank you @sharman.jamie for raising a great point about the duration of a floater with an index https://forum.bionicturtle.com/threads/duration-of-a-floating-rate-note.3631/
- [P1.T4*] Can I try to simplify the carry roll-down? http://trtl.bz/2p7WVS7
- [P2.T5] Why do we divide the spread by two when calculating liquidity-adjusted VaR? https://forum.bionicturtle.com/thre...-var-implementation-messages.7522/#post-58464
- [P2.T5] Thank you @Kidza401 for spotting my bonkers mistake in rendering AGARCH http://trtl.bz/2FG1X1x
- [P2.T5*] Option risk reversal under implied volatility skew/smirk http://trtl.bz/2oZuqWE
- [P2.T6] How can collateral CREATE exposure? https://forum.bionicturtle.com/threads/how-can-collateral-create-exposure.13747/
- [P2.T6] The CDS-bond basis and delivery squeeze https://forum.bionicturtle.com/threads/delivery-squeeze.9682/#post-58349
- [P2.T7] How do you read Hull’s WCDR(T,X)? https://forum.bionicturtle.com/threads/p1-t2-707-gaussian-copula-hull.10198/
- [P2.T8] Covariance between component and portfolio that contains the component https://forum.bionicturtle.com/thre...e-at-risk-var-calculations-topic-review.7709/
- Revenge of the Stadium Banks http://trtl.bz/2HhDkW9
- FSB publishes Global Shadow Banking Monitoring Report 2017 http://www.fsb.org/2018/03/fsb-publishes-global-shadow-banking-monitoring-report-2017/
- Did the Dodd-Frank Act End Too Big to Fail (TBTF)? http://libertystreeteconomics.newyorkfed.org/2018/03/did-the-dodd-frank-act-end-too-big-to-fail.html
- Household Debt Sees Quiet Boom Across the Globe https://www.wsj.com/articles/household-debt-sees-quiet-boom-across-the-globe-1518969601
- EBA Stress Test: 2018 Edition [GARP] http://trtl.bz/2Hri9AZ
- [BIS] Basel III Monitoring Report https://www.bis.org/bcbs/publ/d433.htm
- [BIS] March 2018 BIS Quarterly Review: Volatility returns to centre stage after stock market wobble https://www.bis.org/press/p180311.htm
- Rising seas and climate change: Everything you need to know https://www.theglobeandmail.com/news/national/rising-sea-levels-climate-explainer/article38160918/
- Global Risk Dialogue Winter/Spring 2018 http://www.agcs.allianz.com/insights/global-risk-dialogue/dialogue-2017-2/ “This issue has a special focus on extreme weather events, which pose an increasing threat in a world where changing weather seems the new normal.”
- DataRobot’s briefing on model risk http://trtl.bz/2HeQaUY
- Digital Reputation Management 101 https://blogs.cfainstitute.org/investor/2018/03/07/digital-reputation-management-101/
- The new ISO 31000 keeps risk management simple https://www.iso.org/news/ref2263.html and for that matter, ISO 45001 (OH&S) is now published https://www.iso.org/news/ref2272.html
- FSB publishes Supplementary Guidance to the FSB Principles and Standards on Sound Compensation Practices http://trtl.bz/2Hs9Gxn
- Revenue Recognition: The Bottom Line on the New Top Line http://trtl.bz/2t03Gtq
- Allianz Risk Barometer 2018 http://www.agcs.allianz.com/insights/white-papers-and-case-studies/allianz-risk-barometer-2018/
- Risk is a Moving Target [CFA Institute] https://blogs.cfainstitute.org/investor/2018/03/08/risk-is-a-moving-target/
- On Average, You’re Using the Wrong Average — Part II http://trtl.bz/2Hctqos but please start with his awesome Part I: On Average, You’re Using the Wrong Average: Geometric & Harmonic Means in Data Analysis http://trtl.bz/2HgiOVU
- Visualizing the Capital Asset Pricing Model https://rviews.rstudio.com/2018/03/02/capm-and-visualization/
- [LinkedIn] Can a firm have negative beta such that its cost of equity is less than the risk-free rate? http://trtl.bz/2DkuynP
- Economic Forecasts with the Yield Curve https://www.frbsf.org/economic-rese...18/march/economic-forecasts-with-yield-curve/ “The term spread—the difference between long-term and short-term interest rates—is a strikingly accurate predictor of future economic activity. Every U.S. recession in the past 60 years was preceded by a negative term spread, that is, an inverted yield curve. Furthermore, a negative term spread was always followed by an economic slowdown and, except for one time, by a recession.”
- Crypto Investing Comes With a Big Risk: The Exchanges https://www.wsj.com/articles/crypto-investing-comes-with-a-big-risk-the-exchanges-1520078400 “Investors have lost more than $700 million this year in hacks of two major cryptocurrency exchanges.”
- Demographics and equity returns: A far-fetched horror story https://vanguardblog.com/2018/03/05/demographics-and-equity-returns-a-far-fetched-horror-story/ “Foreign holdings of U.S. equities as a percentage of total U.S. equity market capitalization rose from 7.2% in 1988 to 22.6% by 2016. Even if there were a connection between U.S. demographics and domestic stock market returns, international investors would dampen the impact.”
- Private Equity’s Trick to Make Returns Look Bigger https://www.wsj.com/articles/private-equitys-trick-to-make-returns-look-bigger-1520600579 “The internal rate of return [IRR] is the key performance metric published by private-equity firms … But the growing use of hidden borrowing, known as subscription-line or bridge financing, is flattering the IRR figures some funds report.”
- Brokers to Investors: Your Cash Ain’t Nothin’ But Trash (Rising interest rates aren't showing up in investors' brokerage accounts) https://blogs.wsj.com/moneybeat/2018/03/09/brokers-to-investors-your-cash-aint-nothin-but-trash/
- Portfolio Managers, Artificial Intelligence Is Coming for Your Jobs http://trtl.bz/2DjuJQj
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