07
Mar
Week in risk (3/5/2010)
by David Harper, CFA, FRM, CIPM
We conducted the first live webinar review (FRM Level 1) on Saturday. Reminder to paid members: the recording of the webinar (and the associated PowerPoint deck) has been uploaded to the member page-David
Practice Questions
- Historical simulation
- Conditional value at risk (CVaR)
- Distributions (can you define skew & kurtosis?)
- Covariance
- Put-call parity (must know this for exam)
External
- Ritholz on Russ Roberts’ EconTalk: one of the more compelling podcasts I’ve heard on the financial crisis.
- Make markets be markets
- Airline hedges
- Too big to Fail (TBTF) is Too Short-Sighted
- billy blog contra Reinhart & Rogoff
- BIS Quarterly Review
- argument against naked credit default swaps (CDS) (i.e., without insurable interest)
- Counterparty regulation and its limits: CDS market: CDS Market (SSRN)
- Extremal Events in Bank (SSRN)
- New York Fed Welcomes Further Industry Commitments on Over-the-Counter Derivatives
- Warren Buffet’s annual letter to shareholders
- What makes energy risk different?
- The future of financial risk management
- Financial Crisis Inquiry Commission (FCIC) conducted a two-day Forum to Explore the Causes of the Financial Crisis. Day One and Day Two contains Gary Gorton’s presentation on shadow banking
- Satyajit Das on Mark-to-market
- “A simulation is not a number. It’s not one possible (future) outcome – that’s a scenario. Monte Carlo simulation is a methodology for understanding one’s exposure to outcomes not situated close to the central tendency of the process/project in question”
- How executives hedge their stock holdings
- Goldman says Basel II will increase bank capital requirements by 11.5% overall and 223.7% in bank trading books
- Research on the debt overhang problem
- Former GC of LTCM on lessons learned, not so much
- Cliff Asness on managed futures strategy
- IOSCO systemic risk data requirements for hedge funds
- Geneva Association on systemic risk in insurance
- Defenders and demonizers of credit default swaps
Comments
David , great stuff , thanks for helping me pass FRM Full exam Nov 2009 , your website is so compelling that even now I keenly follow it . Like exam prep days bionic turtle is still my default homepage
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