New practice questions
- P2.T5.711. Age-, volatility-, correlation-weighed and filtered historical simulation (HS) approaches http://trtl.bz/2yoxodP
- P1.T2.712. Skew, kurtosis, coskew and cokurtosis (Miller, Chapter 3) http://trtl.bz/2z9IX8k
- Capital asset pricing model (CAPM, FRM T1-9) http://trtl.bz/2hxHdM6
- RAPMs: Treynor, Jensen's, Sharpe (FRM T1-10) http://trtl.bz/2xRkv7D
- [Fun] A quiz written by @RiskManager316 https://forum.bionicturtle.com/threads/frm-challenge-free-100-question-test.12260/
- [GARP P1] How exactly could certain securities have negative duration? https://forum.bionicturtle.com/thre...gative-duration-garp16-p1-55.9969/#post-54528
- [GARP P2] More discussion on default probability terms; e.g., why conditional PD equals first year unconditional PD if hazard rate is constant http://trtl.bz/2zalaVS
- [P1.T1] Is VaR well-designed for non-market risk? https://forum.bionicturtle.com/threads/p1-t1-605-other-risks-topic-review.9723/#post-54697
- [P1.T2] Is an AR(p) process necessarily covariance stationary? http://trtl.bz/2hzbmuv
- [P1.T3] Does the long position in contango always incur a loss? https://forum.bionicturtle.com/threads/does-the-long-position-in-contango-always-incur-a-loss.12176/
- [P1.T3] Thought-provoking comments (made me think about my language!) by @jcklam on how to think about the relationship between the forward rate and the expected future rate under pure expectations and liquidity preference theories https://forum.bionicturtle.com/thre...term-structure-theories-hull.4525/#post-54505
- {P1.T3] I don’t have a dynamic negative convexity XLS ready yet, but we do have Veronesi’s MBS pricer which is good http://trtl.bz/2lICmMx
- [P1.T3] The relationship between S(0)=E[S(t)]*exp(-k*T) and the cost of carry model https://forum.bionicturtle.com/thre...mal-backwardation-hull.4547/page-2#post-54598
- [P1.T3] In my opinion, from a modeling perspective, convenience yield generalizes the lease rate are these synonyms as both represent implicit ownership benefits https://forum.bionicturtle.com/threads/discount-rate-and-growth-rate-in-commodities-futures.10762/
- [P1.T4] Thank you @MisterDiaz for correcting my mistake in regard to KR01 profile and its implication in a curve steepening. Very instructive! https://forum.bionicturtle.com/thre...xposures-tuckman-3rd-edition.6951/#post-54599
- [P1.T4] Thank you @ccl for pointing out that I probably can’t exactly extract forward swap rates (without an adjustment) https://forum.bionicturtle.com/threads/p1-t4-13-forward-rates-tuckman.4918/page-2#post-54526
- [P1.T4] Why aren’t delta of forward and futures both 1.0, from the perspective of first derivative? https://forum.bionicturtle.com/thre...opic-var_linear_derivatives.10576/#post-54537
- [P1.T4] I also think Shroeck’s ULC formula has a tiny typo http://trtl.bz/2zdV1VO
- [P1.T4] Spreadsheet example of (Hull’s) dilution caused by warrants https://forum.bionicturtle.com/thre...-options-futures-and-other-derivatives.12166/
- [P1.T4] We recently did a video on scaling factor (applied to volatility or VaR) in the case of autocorrelated returns https://forum.bionicturtle.com/thre...tocorrelation-var-volatility.4463/#post-54539
- [P1.T4] Which has higher yield, a 4.0% coupon $85.00 bond (ie, 15% discount) with 10 years to maturity, or the same with 15 years to maturity? https://forum.bionicturtle.com/threads/p1-t4-14-yield-to-maturity-ytm-tuckman.4940/page-2#post-54677
- [P2.T5] The treatment and timing of forward start options; e.g., with dividend-paying stock https://forum.bionicturtle.com/thre...rt-compound-and-chooser-hull.7607/#post-54627
- [P2.T5] On Margrabe applied to ESOs https://forum.bionicturtle.com/threads/l2-t5-11-nonstandard-american-options-hull.3398/#post-54597
- [P2.T6] I’m happy to finally realize why Gregory’s expected exposure (EE) does not equal Dowd’s 50% expected shortfall (ES) when the variable is normal (I did expect them to be equal, don’t you?!) https://forum.bionicturtle.com/thre...ure-terminology-topic-review.6191/#post-54730
- [P2.T6] Good questions from @Gdb about Gregory’s collateral model in the presence of thresholds and minimum transfer amounts (MTAs) https://forum.bionicturtle.com/threads/p2-t6-330-exposure-profiles-with-collateral-gregory-5-4.7236/
- [P2.T6] Great observation from @Gdb about flaw in using percentages (%) to query netting per Gregory’s model https://forum.bionicturtle.com/thre...arginal-ee-gregory-4-5.7223/page-2#post-54699
- [P2.T6] I think De Laurentis's unexpected loss contribution formula is incorrect https://forum.bionicturtle.com/thre...-adjusted-capital-rarorac-de-laurentis.10078/
- [P2.T6] This is a helpful comment about the bank’s coverage of expected loss (EL) versus unexpected loss (UL) https://forum.bionicturtle.com/thre...risk-cvar-topic-review.6333/page-2#post-54732
- PP2.T6] @Gdb asks about Gregory’s Figure 12.15 https://forum.bionicturtle.com/threads/cva-independent-amount-margin-period-of-risk.12281/
- [P2.T7] What’s the difference between resiliency and slippage (great question!)? https://forum.bionicturtle.com/thre...quidity-characteristics-malz.8406/#post-54668
- [P2.T7] Really helpful argument by @uness_o7 that refactoring code to remedy technical debt is not an operational risk loss http://trtl.bz/2h70jYH
- [P2.T7] Role of run-off factor in Basel’s liquidity coverage ratio (LCR) http://trtl.bz/2z9d51d
- [P2.T8] Thank you @uness_o7 for finding a better solution to our single-factor question http://trtl.bz/2zsV54Q
