ARRIBA

risk feature

Bionic Turtle’s Week in Risk (ending February 26th)

This week, David has found some really great risk articles! We've posted new practice questions in our forum, and we also published an updated practice question set for Hull, Risk Management & Financial Institutions, Chapters 10 & 11. In addition to the new question set, we also published four new sets of study notes! We... Read More

Bionic Turtle’s Week in Risk (ending February 19th)

New Practice Questions P1.T2.706. Bivariate normal distribution (Hull) https://www.bionicturtle.com/forum/threads/p1-t2-706-bivariate-normal-distribution-hull.10190/ P1.T2.707. Gaussian Copula (Hull) https://www.bionicturtle.com/forum/threads/p1-t2-707-gaussian-copula-hull.10199/ P2.T8.703. Value, size and momentum investing (Andrew Ang) https://www.bionicturtle.com/forum/threads/p2-t8-703-value-size-and-momentum-investing-andrew-ang.10195/ P2.T8.704. Alpha and effective benchmarks (Andrew Ang) https://www.bionicturtle.com/forum/threads/p2-t8-704-alpha-and-effective-benchmarks-andrew-ang.10205/ In the forum this week (selected only) or Major News Forum member, emilioalzamora1, with a really informative post on the information ratio (I'm still reading... Read More

Bionic Turtle’s Week in Risk (ending February 12th)

New practice questions P1.T2.704. Forecasting volatility with GARCH (Hull) https://www.bionicturtle.com/forum/threads/p1-t2-704-forecasting-volatility-with-garch-hull.10166/ P1.T2.705. Correlation (Hull) https://www.bionicturtle.com/forum/threads/p1-t2-705-correlation-hull.10173/ P2.T8.701. Multifactor models (Andrew Ang) https://www.bionicturtle.com/forum/threads/p2-t8-701-multifactor-models-andrew-ang.10170/ P2.T8.702. Macroeconomic risk factors including growth, inflation and volatility (Andrew Ang) https://www.bionicturtle.com/forum/threads/p2-t8-702-macroeconomic-risk-factors-including-growth-inflation-and-volatility-andrew-ang.10176/ In the forum this week (selected only) [T2 Time series] How can we interpret Diebold’s statement that "Lastly AR processes observed subject to... Read More

Bionic Turtle’s Week in Risk (ending February 5th)

New Practice Questions P1.T2.702. Simple (equally weighted) historical volatility (Hull) https://www.bionicturtle.com/forum/threads/p1-t2-702-simple-equally-weighted-historical-volatility-hull.10144/ P1.T2.703. EWMA versus GARCH volatility (Hull) https://www.bionicturtle.com/forum/threads/p1-t2-703-ewma-versus-garch-volatility-hull.10152/ P2.T6.708. Stress testing the credit value adjustment (CVA) https://www.bionicturtle.com/forum/threads/p2-t6-708-stress-testing-the-credit-value-adjustment-cva.10147/ P2.T8.700. Theory of factor risk premiums (Andrew Ang) https://www.bionicturtle.com/forum/threads/p2-t8-700-theory-of-factor-risk-premiums-andrew-ang.10155/ In the forum this week (selected only)  Some good discussion on DVA, including about the counter-intuitive idea that an... Read More