New Practice Questions
Quantitative
- P1.T4.818. Futures delta and dynamic delta hedging (Hull Ch.19) https://trtl.bz/2OdBmx1
- P2.T7.812. Risks related to money laundering and financing of terrorism https://trtl.bz/2NGMKlr
- Valuation of plain-vanilla interest rate swap (T3-32) https://trtl.bz/2QmRud6
- Fixed for fixed currency swap: mechanics and valuation (T3-33) https://trtl.bz/2NRtj9Y
- Congratulations @rnavarro on completing the ARPM certificate https://trtl.bz/2Q5YvyN. Advanced Risk management and Portfolio Management (ARPM) offers a Certificate (requiring three tests that covers four modules: Financial Engineering for Investment; Data Science for Finance; Quantitative Risk Management; and Quantitative Portfolio Management. See https://www.arpm.co/certificate/
- [P1.T2*] What is the role of long-run average volatility in the volatility models? https://trtl.bz/2zDrPar
- [P1.T3] If the foreign currency forward term structure is upward-sloping, which currency is appreciating? https://trtl.bz/2Q4Wd2N
- [P1.T3] Thank you Chris (@Cjdubs12) for identifying the flaw in my question concerning Hull's distinction between hedgers, speculators, and arbitrageurs https://trtl.bz/2Q466Os
- [P1.T3] Can an FX swap be split into a FX spot plus FX forward? https://forum.bionicturtle.com/threads/fx-swap-vs-fx-spot-fx-forward.20417/
- [P1.T3] The logic of reducing a fixed-income portfolio's net duration to a target level using Treasury bond futures contracts https://trtl.bz/2zzA0V6
- [P1.T3] A hedge requires two positions and a "short hedge" simply means that the hedge is a short position https://trtl.bz/2OXLmI3
- [P1.T3] More on the popular issue of the dividend's role in option valuation (or put-call parity) https://trtl.bz/2zDvXqX
- [P1.T3] Interest rate parity (IRP) implies that the currency with the higher interest rate will depreciate (the currency will the lower interest rate, in order to compete, appreciates) https://trtl.bz/2Q4Wd2N
- [P1.T3] Can a bond issuer repay premium at maturity? https://trtl.bz/2zF6o9b
- [P1.T3] When can we use the single-cash-flow shortcut for valuing an interest rate swap? https://trtl.bz/2zGYcoD
- [P1.T3] What is the relationship between interest rate volatility and callable convertible bond https://trtl.bz/2zIh6eL
- [P1.T3] Thank you @Sharma for interesting approach to converting compound frequencies https://trtl.bz/2zGZD6I
- [P1.T4] The delta of an option on a futures contract https://trtl.bz/2Q4cK7e
- [P1.T4] In volatility, we are primarily concerned with two different types of mean reversion: reversion in returns (aka, negative autocorrelation) and reversion in volatility (i.e., toward a long-run or unconditional volatility) https://trtl.bz/2zDyCAU
- [P1.T4] Do we need to use modified duration for the fixed income VaR calculation? https://trtl.bz/2OYsbOl
- [P1.T4] What is "adjusted" exposure? https://trtl.bz/2N9Ymsl
- [P1.T4] Among 100 sorted losses, is the 98% HS VaR the 2nd or 3rd worst loss? https://forum.bionicturtle.com/threads/value-at-risk-var.20982/https://forum.bionicturtle.com/threads/value-at-risk-var.20985/
- [P2.T5] What is the difference between filtered and volatility-weighted historical simulation? https://trtl.bz/2Nevf78
- [P2.T6] Stulz simple example of credit exposure (is not bilateral CVA) https://trtl.bz/2OPyuDA
- [P2.T6] Calculation of the overcollateralization (O/C) account in Malz three-tier securitization structure example https://trtl.bz/2OUguYE
- [P2.T6] Isn't the threshold the same as the uncollateralized exposure? https://trtl.bz/2zzdpIf
- [P2.T6] Malz's derivation of conditional probability in continuous time https://trtl.bz/2OWxiyo
- [P2.T6] Thank you @David1973 for the detailed illustration of multilateral netting https://trtl.bz/2OSP85b
- [P2.T7] The standardized measurement approach (SMA) may be simpler than the AMA, but it remains a non-trivial calculation https://trtl.bz/2zF2Cwm
Quantitative
- The Complete Guide to Statistics for the Saas Executive (pdf) https://trtl.bz/2zEBWvy
- Interpretability vs. Accuracy: The Friction that Defines Deep Learning https://trtl.bz/2N5e481 Linear regression is highly interpretable but not very accurate
- Why Rejection Sampling Is Useful in Cat Modeling http://www.air-worldwide.com/Blog/Why-Rejection-Sampling-Is-Useful-in-Cat-Modeling/
- Linear Algebra 101 — Part 4 https://medium.com/sho-jp/linear-algebra-101-part-4-6864630842b
- A Multivariate Time Series Guide to Forecasting and Modeling (with Python codes) https://trtl.bz/2zG8wgG
- How Loss Aversion Dominates Your Life https://trtl.bz/2zGdyKd
- Culture, Tone at the Top Lead to Boardroom Resilience https://blog.nacdonline.org/posts/culture-tone-top-resilience Interesting quadrant framework: exogenous versus industry/firm, and top-down versus bottom-up (Material Improbabilities: https://trtl.bz/2OliBI4)
- How Risk Selection in California Can Be Affected by Earthquake Source Modeling Assumptions: A Spatial Loss Correlation Perspective https://trtl.bz/2zFC7qN
- The basics of risk management https://normanmarks.wordpress.com/2018/09/29/the-basics-of-risk-management/ He refers to this excellent video https://trtl.bz/2NRAZsD
- Just When Should We Start Worrying About Deficits? https://trtl.bz/2zF3XDm
- Why You Don’t Know the Price Until You Sell https://ofdollarsanddata.com/why-you-dont-know-the-price-until-you-sell/ "LTCM had assumed far more liquidity and ease of exit from their positions than what they eventually realized during the 1998 crisis. They had no idea the buyers would disappear and the stable prices would go with them. As you know, if there are no buyers and you need to sell, you only have one option—lower your price."
- Jes Staley Stakes Barclays’s Future on Investment Banking https://trtl.bz/2zFNFdp "Staley says he’s quite comfortable with the risks of carrying £238 billion in derivatives liabilities on his balance sheet. Brandishing that credit card of his, he says the bank’s risk committee is far more focused on the £50 billion in unsecured consumer debt on its balance sheet."
- What Is FRAML? And Why Is It Important? https://www.fico.com/blogs/fraud-security/what-is-framl/
- America's Libor Alternative [Secured Overnight Financing Rate, SOFR] Is Gaining Traction on Wall Street https://trtl.bz/2zGgwyp Also: Derivatives and debt markets face race to end links with Libor (ft.com, pdf) https://trtl.bz/2zHx3Ce
- Illustrating the Value of Retirement Accounts https://alphaarchitect.com/2018/09/19/illustrating-the-value-of-retirement-accounts/
- The Banks That Helped Danske Bank Estonia Launder Russian Money https://trtl.bz/2zI0x2R
- Not Too Big To Fail: Why Lehman Had to Go Bankrupt http://knowledge.wharton.upenn.edu/article/the-good-reasons-why-lehman-failed/ ... part of their series on the "Great Recession:" http://knowledge.wharton.upenn.edu/tags/great-recession/
- Facebook Finds Security Flaw Affecting Almost 50 Million Accounts https://trtl.bz/2zGgaaZ
- Abacus CDO Bites Goldman Back https://www.bloomberg.com/view/articles/2018-09-26/abacus-cdo-bites-goldman-back
- Legacy of Lehman Brothers is a global pensions mess (ft.com, pdf) https://trtl.bz/2RchUzy
- Iceland Found Another Way to Clean Up a Financial Crisis by Barry Ritholtz https://trtl.bz/2Nb5GUo
- Environmental, Social, and Governance (ESG) Integration in the United States (CFA Institute) https://trtl.bz/2zFf92U "ESG integration in the US is not as advanced as ESG integration in other developed markets … ESG has a definitional problem: about 25% to 33% of survey and workshop participants equate ESG integration with negative screening."
- Prepare for 10 Feet of Sea Level Rise, California Commission Tells Coastal Cities https://trtl.bz/2zFrtA5
- The Big Melt https://www.nybooks.com/articles/2018/08/16/arctic-big-melt/
- A 5-minute Primer on Factoring ERM into credit ratings for insurance companies https://www.erminsightsbycarol.com/credit-ratings-erm-insurance/
- Task Force report shows momentum building for climate-related financial disclosures https://trtl.bz/2zGY3l0
- FSB and IMF publish the 2018 progress report on G20 Data Gaps Initiative https://trtl.bz/2zGZEr5
- How Dirty Money Disappears Into the Black Hole of Cryptocurrency https://trtl.bz/2zGgZk5
- Uncertainty in Data Science (Transcript) https://www.datacamp.com/community/blog/uncertainty-data-science
- Insider threat: The human element of cyberrisk (McKinsey) https://trtl.bz/2zGafTe
- [BIS] Fintech credit markets around the world: size, drivers and policy issues https://www.bis.org/publ/qtrpdf/r_qt1809e.htm
- Getting Started With Machine Learning https://trtl.bz/2zHuyQb
- These Police Drones are Watching You https://www.pogo.org/analysis/2018/09/these-police-drones-are-watching-you/ "Aerial surveillance can be incredibly invasive … is cheap … is widespread"
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