Feb 10

FRM Early Bird Episode #5

by David Harper, CFA, FRM, CIPM



Info

A refresher (or introduction) on first-order derivatives that play an important role in risk measurement. We look at a few of the derivative rules like power rule. We also briefly consider the Taylor Series Expansion. Finally, we consider the commonality of the first derivative across asset classes: duration for bonds, delta for options, and marginal VaR for portfolio VaR.

(20 min.)