Thanks David
20 Nov 2008
Archives By Date
Peruse all Bionic Turtle articles by date! They are in reverse chronological order, so the latest articles are at the top. If you can't find it here, please use the Search Box on the upper right hand corner of this container, beside the Premium tab.
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2008
September
25 Risk contribution (RC) of credit asset to portfolio unexpected loss – 8 min briefcast
24 Unexpected loss (UL) for a portfolio of credit assets – 9 min briefing
23 Expected loss (EL) if default and recovery are correlated – 8 min screencast
22 FRM 2008 Episode #14 (Hedge funds)
20 Unexpected loss (UL) of credit asset – 9 min screencast
19 What determines loss given default (LGD)? – 2 min screencast
18 Beta distribution for loss given default (LGD) – 7 min screencast
17 Expected default frequency (EDF, PD) with Merton Model – 9 min screencast
16 Adjusted Exposure – 7 min screencast
12 Cumulative probability of default – 8 min screencast
11 Probability of default implied by spot rates – 6 min screencast
10 Altman’s Z score – 8 min screencast
09 Promised Return on Loan – 5 min screencast
08 FRM 2008 Episode #13 (Traditional Investment Risk)
04 New learning spreadsheets uploaded (Basel II, CAPM, RAPM)
04 Expected loan return – 5.5 min screencast
03 Convexity adjustment for Eurodollar futures and FRA – 5 min screencast
02 ABX pricing factors (Learning outcomes “in the news”)
02 Difference between forward price and futures price – 6 min screencast
01 BIS on Economic Capital Modeling
01 Cheapest to deliver (CTD) bond – 6 min screencast
August
29 Conversion factor for Treasury bond futures contract – 7 min screencast
28 Eurodollar futures – 6 min screencast
27 Day count conventions – 5 min. screencast
27 Normal & standard normal distribution
25 FRM 2008 Episode #12: Operational Risk C (Basel II)
23 What is mean reversion in financial time series?
22 Interest rate parity (IRP) as cost of carry – 9 min screencast
22 Conditional versus unconditional expectation and variance
21 Regulatory versus Economic Capital (Paper)
21 Foreign Currency Risk: Off-balance sheet hedge - 8 min screencast
20 Foreign Currency Risk: On-balance sheet hedge – 9 min screencast
20 Sample statistics versus population parameters
19 Foreign Currency Risk: Computing return – 9 min screencast
19 Variance of correlated variables
18 Correlation
16 Key rate shift technique – revised spreadsheet
15 Mapping a stock option – 9 min screencast
15 Covariance
12 Computing value at risk (VaR) on a forward currency contract – 10 min screencast
11 FRM 2008 Episode #11: Operational Risk B (OpRisk B)
09 Using credit migration matrix and Merton model to solve for equity cushion – 9 min screencast
08 How to get portfolio variance from covariance matrix – 10 min screencast
07 Importance of d2 in Black-Scholes to Merton Model in Credit Risk – 10 min screencast
06 Risk factors in a forward currency contract (Market Risk: VaR Mapping) – 7 min screencast