Bionic Turtle’s Week in Risk — Ending November 13th

P1.T1. Foundations If the expected return is given by R(i)=Rf+β(i,M)*E[M]+E[e(i)], what is the expected volatility of the return? Does the information ratio actually generalize the Sharpe ratio? In general, we multiply a monthly information ratio (IR) by sqrt(12) to annualize it because 12/sqrt(12) equals sqrt(12) Effect of confidence increase on value at... Read More

Bionic Turtle’s Week in Risk — Ending November 6th

FRM exam (selected subset only from a busy week leading up to the exam) More helpful study tips shared by members Regression assumptions (P1.T1): Does the Classical Linear Regression Model (CLRM) require normal errors? If not, what does it assume about the errors and what is the payoff of the assumption? Credit events... Read More

Bionic Turtle’s Week in Risk — Ending October 30th

In the forum this week (selected subset only) Risk typology (P1.T1): Is this true or false: To obtain firm-wide risk, we should aggregate market, credit and operational risks but exclude business risks Bond pricing (P1.T3): Arbitrage and the Law of One Price in bond pricing Cost of carry (P1.T3): On the direct link... Read More