Episode #7 - Credit A
04 Jul 2008
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2008
July
03 BIS on Foreign Exchange (FRM AIMs in the news)
02 Interest rate parity is applied cost of carry model
01 How to think about securitization
June
30 FRM 2008 Episode #8: Credit B (Counterparty risk & securitization)
28 Vasicek is a simple, handy one-factor model for interest rate process
25 Capital allocation to business units (paper)
25 Exchange option – 6 min. screencast
24 Beta distribution for credit recovery
24 Asian option – 7 min screencast
23 Lookback option – 3.5 min screencast
20 Practical toolkit for term structure estimation (Paper & XLS software)
20 Barrier options – 4 min screencast
19 Compound option (exotics) – 4 minute screencast
18 Intro Stochastic Toolkit for Risk Management (Paper)
18 Risk neutral valuation – 9 min screencast
17 Delta neutral hedge is insufficient – 7 minute screencast
16 FRM 2008 Episode #7: Credit A (Credit Risk Intro)
13 New learning spreadsheets uploaded
12 Black-Scholes versus Binomial option pricing model – 6 min screencast
11 Highlights from BIS quarterly review (learning objectives in the news)
11 Two step binomial – 9 min screencast
10 Loan sales and growing role of institutional investors (academic paper)
10 Operational loss dependencies (Academic Paper)
10 Ambiguous Expected Return – 7 min screencast
05 Eurodollar future convexity adjustment
05 Eurodollar futures convexity adjustment – Practice question (Par 4 difficulty)
05 One step binomial – 7 min screencast
04 Interest rate parity – Practice question (Par 3+ difficulty)
04 Looking for less risk? Try hedge funds that use derivatives (academic paper)
04 Option Greeks – 7 min screencast
03 Stress testing (five questions)
03 Stock option delta – 7 min screencast
02 FRM 2008 Episode #6: Market C (VaR, Fx, CFaR)
May
30 Forward rates (FRM building block)
30 Black Scholes Merton - 8 min screencast
29 Put call parity - Practice question (Par 4 difficulty)
29 Intuition behind Black-Scholes Merton - 6 min screencast
28 Sharpe ratio beats the newcomers - FRM learning objectives "in the news"
28 Translating value at risk (VaR) - Reader question
27 Duration metrics summarized in easy worksheet
27 Put call parity - 7 min. screencast
26 Interest rate swap as sequence of FRAs - Practice Question (Par 4 difficulty)
26 Basel II in the United States (FRM "in the news")
26 Currency swap - 5 min. screencast
23 Correlations in Basel II IRB (Learning Objective "in the news")
23 Premium bond, duration and DV01 - Practice Question (Par 4)