Question about Bionic Turtle's 2009 FRM Program
07 Jan 2009
Archives By Date
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2008
November
10 Metallgesellschaft case – 6 min briefcast
07 Surplus at risk – spreadsheet
07 Surplus at risk (SaR) – 5 min briefcast
06 How subordinated debt acts in the Merton model – key tips and spreadsheet example
06 Best hedge – 6 min briefcast
05 Risk-adjusted performance measures (RAPMs) – 10 min briefcast
04 Security Market Line (SML) – 9 min briefcast
03 Capital Market Line (CML) – 10 min briefcast
October
31 Marginal value at risk (VaR) – spreadsheet
31 Marginal value at risk (VaR) – 10 min briefcast
30 Portfolio volatility (traditional mean-variance) – 8 min briefcast
29 CreditMetrics: Mapping transition probabilities to random normal variables – 10 min briefcast
28 Bivariate normal distribution – spreadsheet
28 Bivariate normal distribution – 9 min briefcast
27 CreditMetrics – Spreadsheet
27 CreditMetrics: first building block – 10 min briefcast
25 Valuation of credit default swap (CDS) – 9 min briefcast
24 Basel II Operational Risk: BIA & SA spreadsheet
24 Operational Risk (BIA & SA) in Basel II – 7 min briefcast
23 Credit risk mitigation (CRM) in Basel II – 9 min briefcast
22 Basel II IRB risk weight function – spreadsheet & tips
22 Basel II internal ratings-based (IRB) risk weight function – 9 min screencast
21 Basel II Standard Approach to Credit Risk – 7 min screencast
20 Basel II Overview – 10 min screencast
18 Merton Model for PD, LGD, equity/debt value – worksheet
17 Market risk capital charge for economic capital – worksheet
17 Capital charge for market risk – 9 min briefcast
16 Adjusted RAROC – 10 min briefcast
15 Risk-adjusted return on capital (RAROC) – 9 min briefcast
14 Interest rate and currency swaps – new spreadsheet uploaded
14 Liquidity-adjusted Value at Risk (LVaR) – 10 min briefcast
13 24 FRM detailed practice questions (free)
13 Gujarati’s Key Distributions Compared – spreadsheet upload
13 Cost of liquidity risk – 6 min briefcast
10 Mapping a loss distribution to credit enhancement – 9 min. briefcast
09 Subprime mortgage features – 6 min briefcast
08 ABX Index for value of subprime – 9 min briefcast
07 Frictions in subprime securitization – 9 min briefcast
06 Liquidity support in a securitization – 9 min briefcast
04 Net Excess Spread in Securitization – 7 min briefcast
03 Credit enhancements in a securitization – 9 min briefcast
02 Trust versus Corporation in Securitization – 4 min briefcast
01 Cash flow preservation in securitization (EditGrid)
01 Tranching in securitization – 10 min briefcast
September
30 What is a securitization? 8 min briefcast
29 Key players in a securitization – 6 min screencast