RiskTYPE

• Major Risk Sources [foundation] 19 Jan 2010

  AIM: Define risk and describe some of the major sources of risk Risk is volatility of unexpected outcomes (value of assets, equity, or earnings). Although Jorion … read more

• Value at risk (VaR) of interest rate swap [practice, market] 21 May 2009

  This sample question (2009 L1.09) is very good I think. In order to value an interest rate swap, the floating rate leg turns out to … read more

• Is convertible arb directional or non-directional? [practice] 29 Apr 2009

  Explore Risk Foundations with four practice questions, as I slowly develop our wiki resource. Jorion 1.14: Explain directional and non-directional market risks. Identify hedge fund strategies … read more

• Walking through the first 2009 FRM learning XLS: Intro to VaR, 10 Min [video] 25 Apr 2009

  I’ve uploaded six learning spreadsheets for the 2009 FRM program (they correspond to the video tutorials and therefore track with the assigned readings). Here is an … read more

• Are notional amounts a good measure of risk? [practice] 23 Apr 2009

  Jorion Question 01.07 "The fact that the total of derivatives notional amounts is much greater than cash markets should be a major reason for concern.  This … read more

• Which one word captures the utility and danger of derivatives? [practice] 22 Apr 2009

  Explore Risk Foundations with two practice questions. The blog is meant to give you a quick 5-min boost; here we answering some questions from Jorion Chapters. … read more

• Are financial markets like a Las Vegas Casino? [practice] 21 Apr 2009

  Explore Risk Foundations with two practice questions. The blog is meant to give you a quick 5-min boost; here we answering some questions from Jorion Chapters. … read more

• Can financial risks be analyzed independently? [practice] 20 Apr 2009

  Explore Risk Foundations with two practices questions. The blog is meant to give you a 3-min boost; I am writing answers to the Jorion Chapters up … read more

• Early Bird Webinar #5 Follow-up [webinar] 30 Mar 2009

  Thank you to the 92 attendees on Saturday’s live webinar (our final 2009 FRM Early Bird). On the paid member page, I just uploaded: A … read more

• Minimum variance hedge ratio is slope of OLS regression line, 4 min. [video, FRM: market, FRM: quant 27 Mar 2009

  Gujarati’s regression is applied in Hull’s 3.3 example of an airline that cross-hedges jet fuel costs with heating oil futures. For the FRM candidate, I have … read more

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