Blog Week in Risk (October 14th)

[David Harper CFA FRM]

New Practice Questions

• P1.T4.820. Delta- and gamma-neutral position; and the relationship between delta, theta, and gamma (Hull Ch.19) https://trtl.bz/2A0jA8y
• P1.T4.821. Delta hedging, scenario analysis and portfolio insurance (Hull, Ch.19) https://trtl.bz/2pJRPLy

New YouTube

• Is it optimal to early exercise an option? (FRM T3-36) https://trtl.bz/2RBEH7O

In the forum (an asterisk "*" indicates the OP still may need help)

• [GARP] Alternative exam date doesn't match admission ticket date https://forum.bionicturtle.com/threads/alternative-exam-date.21015/
• [GARP FRM] Resources for refreshing math skills https://forum.bionicturtle.com/threads/resources-for-refreshing-math-skills.8101/
• [GARP P1*] Bond duration https://trtl.bz/2C0tN6h
• [GARP P2.15*] https://forum.bionicturtle.com/threads/garp-2018-p2-15.21006/ … add here https://forum.bionicturtle.com/thre...iew-of-garps-2017-part-2-practice-exam.10510/
• [BT] Did this influence our name? https://forum.bionicturtle.com/threads/bionic-beta-wins-the-1970s.21033/
• [P1.T1] Jensen's alpha https://trtl.bz/2IM64Ih
• [P1.T1] Basic definitions of actors and their roles in the global financial crisis https://forum.bionicturtle.com/thre...f-actors-and-their-roles-in-the-crisis.21045/
• [P1.T2] Thank you Adele (@a.bologna295) for correcting my language w.r.t. sample mean hypothesis interpretation https://trtl.bz/2C3irhP
• [P1.T2*] The relationship between the F ratio and the coefficient of determination (R^2) https://trtl.bz/2zYgBNU
• [P1.T3] How many days are between January 1st and June 13th? https://trtl.bz/2C5vy2l
• [P1.T3] Thank you @Maiyaa for help with callable convertible bond and interest rate volatility https://trtl.bz/2C4XZNx
• [P1.T3] Must know discrete/lumpy versions of cost of carry (COC) model https://trtl.bz/2zYY18q
• [P1.T3] In general the interest rate futures contract (e.g., T-bond futures, Eurodollar futures) quotes (aka, prices) have an inverse relationship with interest rates https://trtl.bz/2pNYuo7
• [P1.T3] Thank you Chris (@Cjdubs12 ) for identifying an "optical illusion" in my swap valuation spreadsheet https://trtl.bz/2pKsfGa
• [P1.T3] Why is the current credit exposure always zero for one of the swap counterparties? https://trtl.bz/2pQ0uMx
• [P1.T4*] Trading the forward curve steepening or flattening https://trtl.bz/2BZQasK
• [P1.T4] Annual versus semi-annual annuity factor https://trtl.bz/2C2mfQt
• [P1.T4] The difference between investing $500,000 and buy $500,000 in face value of a bond https://trtl.bz/2pImA3r
• [P1.T4] What does it mean to be short gamma? https://trtl.bz/2pKA7rk
• [P1.T4] The roll of three dice as a probability distribution that characterizes loss severity https://trtl.bz/2IKEATF
• [P1.T4] What are the units of Greek theta? https://trtl.bz/2pHPCAg
• [P1.T4] Thank you @clive.bastow for help in better phrasing the change to a negative gamma https://trtl.bz/2pKHxLl
• [P1.T4] A portfolio of written (short) at-the-money calls and puts with near-term maturity has high, positive position theta https://trtl.bz/2IONeAi
• [P1.T4] Calculating the full (aka, cash, dirty) bond price when settlement is between coupons https://trtl.bz/2pQsJe9
• [P1.T4] Taylor series: FRM candidates need to be able to scale yield volatility in bond VaR and add gamma term in option VaR https://trtl.bz/2pOfLxc (and a similar example is given here https://trtl.bz/2pTp27x)
• [P1.T4] Thank you again @clive.bastow for shortcut to retrieving d2 in BSM https://trtl.bz/2pPbtFZ
• [P1.T4] Solving for the spot rate as a function of forward rates, given discount factors https://trtl.bz/2pUfbyi
• [P1.T4] Ong versus Schroeck versus De Laurentis https://trtl.bz/2pSoq1K
• [P1.T4] The Law of One Price will be assumed in exam questions, for example https://trtl.bz/2pU4oUy
• [P1.T4. Hull 13.08] Typical exercises giving practice to the GBM equity process (i.e., lognormal prices) assumption https://forum.bionicturtle.com/threads/hull-13-08.3822/
• [P1.T4*] Can the OIS be a swap rate, and is it is good proxy for the spot risk-free rate? https://trtl.bz/2pRdscL
• [P2.T5] Does anyone have a (detailed) IRC spreadsheet? https://trtl.bz/2pLImDu
• [P2.T5] The BSM model-based mispricing implications of an uncertain volatility that is positively correlated with asset price https://trtl.bz/2pLAsKl
• [P2.T5] Is there a relationship between the CDS spread and the underlying the CDO equity tranche excess spread? Thank you @emilioalzamora1 for a truly killer answer! https://trtl.bz/2IVlMko
• [P2.T5] What is meant by, Conditional time-varying volatility will reveal as an unconditional heavy-tailed distribution https://trtl.bz/2pOLiPQ
• [P2.T6*] Computing the z-spread in Malz' Chapter 7 https://trtl.bz/2INGFxT
• [P2.T6] In general, Sum(marginal CVA) = Sum(incremental CVA) ≤ Sum(standalone CVA) but, at the same time, the sum of incremental CVAs is not necessarily meaningful https://trtl.bz/2pRTr6a
• [P2.T6] What is the most common type of collateral, according to Gregory? https://forum.bionicturtle.com/threads/types-of-collateral.21050/
• [P2.T6] Impacts on the bilateral credit value adjustment (CVA) https://trtl.bz/2pTOmKn

External

Banking and Regulatory

• Dealing with Uncertainty: How the Fed Determines Monetary Policy https://trtl.bz/2pUjOsa
• Leverage Rule Arbitrage http://libertystreeteconomics.newyorkfed.org/2018/10/leverage-rule-arbitrage.html
• Real-Time Risk Management and Next-Generation Insurance https://trtl.bz/2IKX6ew
• How 60+ Startups Are Disrupting Retail And Commercial Banking Around The World https://www.cbinsights.com/research/disrupting-banks-startup-market-map/

Risk

• Basel AML Index reveals slow progress in combating money laundering https://www.baselgovernance.org/node/6981
• A basic principle most people don’t understand about risk https://trtl.bz/2pQaGET
• Multiple risk-free interest rates http://www.sr-sv.com/multiple-risk-free-interest-rates/
• Intelligent Risk (by PRMIA) https://trtl.bz/2ynF2SM
• Measuring Risk Tolerance https://blog.thinknewfound.com/2018/10/measuring-risk-tolerance/
• 10 years later: How the housing market has changed since the crash https://trtl.bz/2IKUuNC

Technology

• This Texas Finance Professor Sifts Data for Signs of Rigged Markets https://trtl.bz/2NETag7 Here is John Griffin's SSRN page (with papers) https://trtl.bz/2NDYss9
• Scaling Cyber Supply Chain Risk Management with Dark Web Monitoring https://trtl.bz/2pSwIXq
• Big News: Behind the First U.S. Cybersecurity Assessment https://www.fico.com/blogs/fraud-security/us-cybersecurity-assessment/
• Impressions and Lessons from the O’Reilly AI Conf 2018 https://trtl.bz/2pRGJE8

Climate and Natura

• The Full Extent of Michael’s Impact Becomes Clear https://www.rms.com/blog/2018/10/12/the-full-extent-of-michaels-impact-becomes-clear/ NYT update https://trtl.bz/2NBhrnq
• What You Should Know About the New Climate Change Report https://trtl.bz/2pPO5bt
• Why Hurricane Michael’s Landfall Is Historic http://www.air-worldwide.com/Blog/Why-Hurricane-Michael’s-Landfall-Is-Historic/l
• Dangerous Rapidly Intensifying Landfalling Hurricanes Like Michael and Harvey May Grow More Common https://trtl.bz/2pSHi0I
• Climate change will make the next global crash the worst https://trtl.bz/2pULmO0
• Why Did Hurricane Michael Rev Up to Category 4 So Quickly? https://trtl.bz/2pSczRg
• Many Pensions and Endowments Are Exposed to Hurricane Michael https://trtl.bz/2pMUIvc

Career and Education

• The Chartered SRI Counselor is the "first certification for sustainable, responsible and impact investing." https://www.cffp.edu/CSRIC
• World Development Report 2019 (The Changing Nature of Work) http://www.worldbank.org/en/publication/wdr2019
• The Secrets of Getting Into Harvard Were Once Closely Guarded. That’s About to Change https://trtl.bz/2pQawgL
• The Most in Demand Skills for Data Scientists https://trtl.bz/2NCCzcU

Investing and Personal Finance

• Thousands of Southerners Planted Trees for Retirement. It Didn’t Work. https://trtl.bz/2IM7tPa
• The $210 Billion Risk in Your 401(k) https://trtl.bz/2pSdGRc
• Mortgage Rates Fast Approaching 5%, a Fresh Blow to Housing Market https://trtl.bz/2pSa69I
• Getting ahead of the market: How big data is transforming real estate https://trtl.bz/2pJAF0z
• The Price of Financial Advice Is, Finally, Falling https://trtl.bz/2INRPD9

Other (Quantitative, Case Study, Governance)

• Simpson’s Paradox: How to Prove Opposite Arguments with the Same Data https://trtl.bz/2NEW4kY
• Edward Lampert’s Non-Strategy to Save Sears https://trtl.bz/2NGFeSQ
• Results of ISS Governance Principles Survey https://corpgov.law.harvard.edu/2018/10/08/results-of-iss-governance-principles-survey/