ARRIBA

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? https://www.bionicturtle.com/forum/threads/p1-t1-611-arbitrage-pricing-theory-apt-topic-review.9811/ Does the information ratio actually generalize the Sharpe ratio? https://www.bionicturtle.com/forum/threads/p1-t1-610-risk-adjusted-performance-measures-topic-review.9796/#post-46083 In general, we multiply a monthly information ratio (IR) by sqrt(12) to annualize it because 12/sqrt(12) equals sqrt(12) https://www.bionicturtle.com/forum/threads/p1-t1-411-risk-adjusted-performance-measures-rapm.7919/ 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 https://www.bionicturtle.com/forum/threads/study-plan-guide.8670/page-2#post-45853 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? https://www.bionicturtle.com/forum/threads/p1-t2-407-univariate-linear-regression.7972/ 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 https://www.bionicturtle.com/forum/threads/p1-t1-601-risk-governance-at-a-bank.9215/ Bond pricing (P1.T3): Arbitrage and the Law of One Price in bond pricing https://www.bionicturtle.com/forum/threads/fmp.9114/ Cost of carry (P1.T3): On the direct link... Read More