ARRIBA

Bionic Turtle’s Week in Risk — Ending April 24th

The Bionic Turtle FRM forum was crazy busy last week, but we learned a lot! Please note that, as usual in answering some questions, David provided customized spreadsheet snippets. Last week, this included sheet that (i) demonstrate the "additive" property of expected shortfall (ES) under a normal distribution, (ii) semantics of default probability, and (iii)... Read More

Bionic Turtle’s Week in Risk – April 11th

Financial Risk Forum Discussions Risk Appetite Who determines the firm's risk appetite, the Board or the CRO? https://www.bionicturtle.com/forum/threads/p1-t1-505-mechanisms-for-transmitting-risk-governance-crouhy-galai-mark.8225/ Statistical significance of alpha The statistical significance of alpha (is a simple derivation) https://www.bionicturtle.com/forum/threads/p2-t8-18-statistical-significance-of-alpha.5578/#post-41451 Three-tiered securitization Continuing our discussion of the cashflow waterfall in Malz’ three-tiered securitization https://www.bionicturtle.com/forum/threads/p2-t6-313-three-tiered-securitization-structure-cashflows-malz-9-2.7013/ Calculating the value of risky debt  How do we calculate... Read More

Bionic Turtle’s Week in Risk – April 4th

Financial Risk Forum Discussions Concordant versus discordant pairs There is a mistake in Meissner https://www.bionicturtle.com/forum/threads/kendalls-t-which-is-correct.9447/ Here is the detail, including Meissner's confirmation http://trtl.bz/Meissner-Kendall-mistake David's visual explanation of concordant versus discordant http://trtl.bz/concordante-visual                 Component and marginal VaR GARP Practice Exam P2.68 Component and marginal VaR https://www.bionicturtle.com/forum/threads/garp-2016-practice-exam-q68.9450/ Liquidity VaR (LVaR) GARP (older) question... Read More

Bionic Turtle’s Week in Risk – March 28th

Financial Risk Forum Discussions Estimating VaR Estimating VaR with normally distributed arithmetic returns (in contrast to normally distributed geometric returns) https://www.bionicturtle.com/forum/threads/estimating-var-with-normally-distributed-arithmetic-returns.9432/. I think it's worth understanding Dowd on this concept. Pricing a theoretical Treasury bond futures contract Talking about the tedious exercise of pricing a theoretical Treasury bond futures contract http://trtl.bz/0330-tbond-futures It's just cost of carry... Read More