PracticeTYPE

• 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

• 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

• Extreme value theory (0903) [practice, FRM: market] 26 Mar 2009

  Explore Market Risk with a practice question. Question #1 [source 2006 #62] Many financial applications are concerned only with extreme values of returns or exceptional losses … read more

• Marginal and cumulative mortality rates [practice, FRM: credit] 10 Mar 2009

  Explore Credit Risk with a practice question [source: modified from 2006 #73] Assume the following performance for a bond cohort: Year T Value of bonds outstanding … read more

• EB #3 First partial derivative PRACTICE questions [webinar, practice] 08 Mar 2009

  Are you keeping up with the Early Bird “homework?” Early Bird homework from #1 (financial returns). Early Bird homework from #2 (volatilities). Since Hull’s volatility … read more

• Beta hedge an equity portfolio with futures contracts [Practice, FRM: Market] 27 Feb 2009

  Explore Market Risk with a practice question. Consider an equity portfolio with market value of USD 100M and a beta of 1.4 with respect to the … read more

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