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? Statistical significance of alpha The statistical significance of alpha (is a simple derivation) Three-tiered securitization Continuing our discussion of the cashflow waterfall in Malz’ three-tiered securitization 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 Here is the detail, including Meissner's confirmation David's visual explanation of concordant versus discordant                 Component and marginal VaR GARP Practice Exam P2.68 Component and marginal VaR 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) 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 It's just cost of carry... Read More