Practice Questions
- P1.T4.806. Putting value at risk (VaR) to work (Allen Ch.3) http://trtl.bz/2Htp64C
- P2.T9.807. The role of culture in the financial industry (Lo) http://trtl.bz/2tLddVD
- Type I versus II error and power (FRM T2-13) http://trtl.bz/2tYbc8u
- Minimum variance hedge (FRM T3-6) http://trtl.bz/2tYbqMS
- [P1.T2] Backtest rejection (continued) https://forum.bionicturtle.com/thre...ypothesis-tests-miller-ch-7.13420/#post-58624
- [P1.T2] Sampling distribution of OLS estimators https://forum.bionicturtle.com/threads/sampling-distribution-of-ols-estimators.13781/
- [P1.T2*] What is meant by consistent AIC/SIC/MSE? https://forum.bionicturtle.com/threads/p1-t2-505-model-selection-criteria-diebold.8381/
- [P1.T3] Convenience yield is unique among the cost of carry factors: it is implied by the traded futures price https://forum.bionicturtle.com/thre...-carry-model-hull-chapter-5.10601/#post-58625
- [P1.T3] Term life insurance premium (Hull's EOC Question 3.16) https://forum.bionicturtle.com/threads/term-life-insurance-premium-hull-rm-fi-eoc-3-16.13769/
- [P1.T3] The rate begins when the contract ends (contract maturity) for a Eurodollar futures contract http://trtl.bz/2DE29sT
- [P1.T3] Because Q = 100 - R, an increase in the rate directly implies a decrease in the quote and contract price for a Eurodollar futures contract http://trtl.bz/2DDSB16
- [P1.T4] Profit/loss under a swap rate steepening versus the roll-down yield https://forum.bionicturtle.com/threads/p1-t4-314-forward-rate-curve-trades-tuckman.6898/#post-58627
- [P1.T4] @sharman.jamie with real-world insights on Bloomberg's OAS1 approach https://forum.bionicturtle.com/threads/duration-of-a-floating-rate-note.3631/#post-58605
- [P1.T4] The full price (not the flat price) pulls to par https://forum.bionicturtle.com/threads/p1-t4-311-accrued-interest-tuckman.6873/page-2#post-58626
- [P1.T4] Option convexity (aka, gamma) should be priced in http://trtl.bz/2DBPuXy
- [P1.T5] Thank you @QuantMan2318 for help answering questions about bond duration! http://trtl.bz/2DDsw2i
- [P1.T5] VaR for Bond Portfolio with ranges of interest rate changes & probabilities http://trtl.bz/2DCj8Mt
- [P1.T5] I used to believe durations were unitless; now I believe for both durations their units are time (years) https://forum.bionicturtle.com/threads/l2-t5-25-duration-tuckman.3447/#post-58670
- [P2.T6] Malz CVaR is not UL - EL. Rather, relative CVaR = UL = loss quantile - EL http://trtl.bz/2DDU6fL
- [P2.T6] The intuition of subordinated bonds in Merton https://forum.bionicturtle.com/threads/effect-of-time-to-maturity-on-sub-bonds.10409/
- [P2.T6] The effect of a delivery squeeze on CDS-bond basis https://forum.bionicturtle.com/threads/delivery-squeeze.9682/
- [P2.T6] Thank you @Karim_B (again!) for the correction concerning debt payoff under Stulz http://trtl.bz/2DDREG4
- [P2.T6] Good catch by @curo of my imprecise interpretation of overcollateralizatoin http://trtl.bz/2DCZ24N
- [P2.T6] Should RAROC deduct the tax shield? https://forum.bionicturtle.com/thre...apital-rarorac-de-laurentis.10078/#post-58678
- [P2.T7] Gross versus net leverage on the economic balance sheet http://trtl.bz/2DAQg73
- [P2.T7] The derivation of Malz' liquidity-adjusted VaR square root scaling multiplier http://trtl.bz/2DDNQVb
- [P2.T7] Good point @jaivipin about model risk https://forum.bionicturtle.com/threads/p2-t7-700-operational-risk-definition.10651/#post-58623
- How the Bear Stearns Meltdown Wrecked Something More Valuable than Money https://blogs.wsj.com/moneybeat/201...n-wrecked-something-more-valuable-than-money/
- Senate passes rollback of banking rules enacted after financial crisis http://trtl.bz/2pjjoM4 [Washington Post]
- The Troubled Legacy Of Dodd-Frank https://www.hoover.org/research/troubled-legacy-dodd-frank
- [GARP] The New York State Cyber Rules: Year One and Beyond http://trtl.bz/2DCrZ0H
- Why Blockchain Will Survive, Even If Bitcoin Doesn’t https://www.wsj.com/articles/why-blockchain-will-survive-even-if-bitcoin-doesnt-1520769600
- FICO’s Lock on Mortgage Credit Scores Comes Under Fire - WSJ https://www.wsj.com/articles/ficos-lock-on-mortgage-credit-scores-comes-under-fire-1521019801
- [off topic] Seeing vs. Reading (the key to creativity) https://medium.com/personal-growth/seeing-vs-reading-29365d4540e2
- Longevity FAQ: A beginner's guide to longevity research https://www.ldeming.com/longevityfaq/
- International Forum of Independent Audit Regulators Report on 2017 Survey of Inspection Findings http://www.fsa.go.jp/cpaaob/english/press/20180312.html
- [case study] The Blood Unicorn Theranos Was Just a Fairy Tale https://www.bloomberg.com/view/arti...vestors-and-consumers-who-used-its-blood-test
- [quant] Visualizing MonteCarlo Simulation Results: Mean vs Median https://firstdifferences.wordpress....montecarlo-simulation-results-mean-vs-median/ “It is clear to see that both the distribution of the mean and the median are centered around the true expected value of zero. This implies that both estimators are unbiased. However, the distribution of the mean tends to be more concentrated than that of the median. The mean has a smaller variance and is therefore more efficient.”
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