Welcome to our Week in Risk! We have some great new YouTube videos for you this week. In the first video, David discusses coherent risk measures and why VaR is not coherent. Our second video continues our series on Exotic Options and discusses floating and fixed lookback options. We’ve included some interesting threads from our forum, and other risk articles from around the globe. We hope you have a great week!
New YouTube
- Coherent risk measures and why VaR is not coherent (FRM T4-5) https://trtl.bz/2rBaD0p
- Exotic options: floating and fixed lookback option (FRM T3-45) https://trtl.bz/2EwsX3b
In the forum
- [bionicturtle.com] We are seeking an Expert Finance Writer/Editor, see the description at https://trtl.bz/bt-job-description-dec-2018
- [FRM credential*] Does this work experience qualify? https://trtl.bz/2GhpR52
- [CFA] Question about CDO structure https://www.bionicturtle.com/forum/threads/question-about-cdo-structure.22036/
- [P1.T2] A popular question: how do we know when to use a one-tailed or two-tailed critical value? https://trtl.bz/2rwE0B4
- [P1.T2] Interpreting a binomial tree https://trtl.bz/2GtKDi3
- [P2.T5] Backward induction in Tuckman’s interest rate tree https://trtl.bz/2rxJBHo
- [P2.T5] An alternate way to calculate the convexity effect due to Jensen’s inequality https://trtl.bz/2GgtLen
Banking
- [BIS] BIS Quarterly Review, December 2018 https://www.bis.org/publ/qtrpdf/r_qt1812.htm
- [BIS] Basel Committee publishes updated Basel III disclosure requirements https://www.bis.org/press/p181211.htm
- [BIS] Basel Committee consults on disclosure requirement to address leverage ratio window-dressing https://www.bis.org/press/p181213.htm
- At Goldman Sachs, the David Solomon Era Begins with Subtle but Significant Changes https://trtl.bz/2EyNqV3
Risk
- The Risk in the Risk-Free Rate https://blog.thinknewfound.com/2018/12/the-risk-in-the-risk-free-rate/
- Innovation In Insurance http://pointsandfigures.com/2018/12/10/innovation-in-insurance/ “I think that risk and the concept of risk is a big place for innovation in the next wave. Big data allows us to quantify it better and more completely and artificial intelligence allows us to do it quickly. The exciting thing in insurance is not necessarily about existing insurance markets. It’s pretty easy to see that artificial intelligence is going to change the way we underwrite policies. I think the exciting thing is tapping into new markets that never really had a way to measure and hedge risk.“
- The Ultimate Primer for Effective Risk Reporting https://www.erminsightsbycarol.com/risk-reporting/
- Bloomberg’s Pessimist’s Guide to 2019 https://www.bloomberg.com/graphics/pessimists-guide-to-2019/
- [book] Operational Risk Management: Best Practices in the Financial Services Industry https://amzn.to/2S5PuXK
- Nomura’s nine Grey Swan risks to watch in markets in 2019 https://trtl.bz/2EyYW2T
- What’s Next for Risk Management? https://trtl.bz/2BmSlo8
- AGCS Global Claims Review 2018 https://trtl.bz/2Emq0l8
- A Fresh Look at Three Lines of Defense https://trtl.bz/2ElCNEp
Governance
- Some Thoughts for Boards of Directors in 2019 (Martin Lipton) https://corpgov.law.harvard.edu/2018/12/14/some-thoughts-for-boards-of-directors-in-2019/
- Preparing for the 2019 Proxy Season: Practical Guidance for Directors and Board Committees (Harvard Law) https://trtl.bz/2EwrslD
- 2018 Annual Corporate Governance Review https://corpgov.law.harvard.edu/2018/12/11/2018-annual-corporate-governance-review/
- Corporate Governance Case Study: Tesla, Twitter, and the Good Weed https://trtl.bz/2EygNag
- Fear of Public Speaking: Whistleblowing Risks and Rewards [CFA Institute] https://trtl.bz/2EyRxAM
Case Studies
- Madoff’s Victims Are Close to Getting Their $19 Billion Back https://www.bloomberg.com/graphics/2018-recovering-madoff-money/
- GE Powered the American Century—Then It Burned Out https://trtl.bz/2Esnz06
Tech and Cyber
- Digital insurance in 2018: Driving real impact with digital and analytics (McKinsey) https://trtl.bz/2EyNUdP
- Finding Coverage for GDPR Liabilities http://www.rmmagazine.com/2018/12/10/finding-coverage-for-gdpr-liabilities/
- Marriott International Data Breach: A Major Industry Event https://trtl.bz/2EwrhXv
- U.S. House Oversight Committee Calls for More “Transparency” in Cyber Risk Reporting, After Equifax https://trtl.bz/2EzNmEN
- Machine learning in finance: Why, what & how https://trtl.bz/2EwnLwh
- 2019 RSA Conference to Spotlight Cyber Risk Quantification https://trtl.bz/2ExrppK
Climate
- Corporate Assets Face Climate Risks, But Nobody Seems to Mind https://trtl.bz/2rvbRub (Paper is behind paywall here https://trtl.bz/2rvBKtJ)
- Warming in Arctic Raises Fears of a Rapid Unraveling of the Region https://www.nytimes.com/2018/12/11/climate/arctic-warming.html
- United States wildfire costs to exceed $10bn for second year running (Aon catastrophe report) https://trtl.bz/2EyQi4h
Quantitative
- [book] On self-publishing “A Programmer’s Introduction to Mathematics” https://trtl.bz/2Engazj David bought this!
- Simplifying Factorials: The Easy Way https://trtl.bz/2EySbhn
- Rsampling Fama-French https://rviews.rstudio.com/2018/12/13/rsampling-fama-french/
Investing and Financial Planning
- Introducing Free Financial Planning (wealthfront.com) https://blog.wealthfront.com/introducing-free-financial-planning/
- Calculating the Risk of College https://www.wsj.com/graphics/calculating-risk-of-college/
- Living to 100 http://blairbellecurve.com/living-to-100/
- The best books of 2018 (Brenda Jubin) http://readingthemarkets.blogspot.com/2018/12/the-best-books-of-2018.html
- Transcript: Jeremy Grantham, GMO https://ritholtz.com/2018/12/transcript-jeremy-grantham-gmo/
- Battered and Bruised, Wall Street Makes Peace With Volatility https://trtl.bz/2ExxHph
- The Misunderstood Flattening Yield Curve (John Mauldin) https://trtl.bz/2EpPUnP
- Investment Banking: Valuation Models + Online Course (2nd Edition) https://amzn.to/2S4SkMS The newest (second) version of what many consider to be the best book on valuation
