Value at Risk (VaR). 2007 FRM, Part 8: Trade impact on Value…
09 Aug 2007
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After an almost twenty-year raging bull market (1981 to 2000) that was obsessed with market returns, and a subsequent meltdown, risk is now in ascendancy. Risk measurement and risk management are intra-disciplinary endeavors that will certainly play a key role in future markets. Risk-related fields are innovation hotbeds that will continue to create some of the most exciting, lucrative jobs in financial services.
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Basis risk: the mother of all risks? A 9 minute screencasts
30 Apr 2008
Basis risk attaches to all derivatives. Lately, examples abound: Imperfect CDS protection on retained, unfunded super-senior CDO tranches Airlines struggle to hedge the cost of jet fuel (cross-hedging plus basis risk = hard to do!) …
Value at Risk (VaR): 2007 FRM. Part 3
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Value at Risk (VaR): 2007 FRM. Part 2
01 Aug 2007
Value at Risk (VaR): 2007 FRM. Part 1
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Monte Carlo Simulation with GBM (FRM LO 14.1)
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Lognormal Distribution. Part 2: Bond Price
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Normal Distribution: Properties
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Monte Carlo: Correlated random variables
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A grid for grasping probability distributions
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Monte Carlo simulations. Part 4: FRM exam tips
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Monte Carlo simulations. Part 3: Demo
09 May 2007
Monte Carlo simulations. Part 2: GBM
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Monte Carlo simulations. Part 1: Process
07 May 2007
Forecasting volatility with GARCH
03 May 2007
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