10Nov
Metallgesellschaft case – 6 min briefcast
A quick summary of the Metallgesellshaft (MG) case. Tips for FRM candidates: The underlying instruments were short positions in long-term forward contracts to deliver oil The hedge was a stack-and-roll hedge: long positions in short-term futures contracts that were rolled …07Nov
Surplus at risk – spreadsheet
The EditGrid spreadsheet below contains two sheets. Both calculate surplus at risk (SaR). The first is the worksheet I reviewed in an earlier screencast (based on the approach used in question 37 of the 2008 FRM sample exam). The second …07Nov
Surplus at risk (SaR) – 5 min briefcast
Here is a brief review of calculating surplus at risk (SaR) for a pension fund. This example is from FRM 2008 sample practice exam (question 37) and the analytics are different than illustrated in Jorion. In this approach, the estimation …06Nov
How subordinated debt acts in the Merton model – key tips and spreadsheet example
Below is an EditGrid spreadsheet that models subordinated debt under the Merton model (for FRM candidates, the assignment is Stulz Chapter 18. The last tab contains Stulz’s example on page 582). Here are the basic mechanics: The firm has either …06Nov
Best hedge – 6 min briefcast
A brief review of the best hedge (Jorion Chapter 7). The best hedge is based on portfolio volatility in the mean-variance framework. Specifically, Given a current portfolio with value (W), and Given an asset (A) with correlation (rho) to the …Financial Risk Manager (FRM) Exam Preparation
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Thanks for the well written FRM materials. It got me through one tough exam. This is from an actuary who has taken many uphill exams in my life.
