Bionic Turtle’s Week in Risk (ending December 2nd)

Welcome to our Week in Risk! GARP has released the 2019 FRM curriculum so we are busy preparing for the upcoming year! Make sure to visit our forum, where you can get updates of new materials that are published, along with helpful support in your FRM studies! Our newest YouTube videos this week cover Delta-normal value at risk and Exotic options: chooser option. Make sure to subscribe to our YouTube channel so you don’t miss out on any of our new videos that are posted weekly! We hope you have a great week!

YouTube

• Delta-normal value at risk (VaR, FRM T4-3) https://trtl.bz/2Rzq2Kh

• Exotic options: chooser option (FRM T3-43) https://trtl.bz/2E8z39X

In the Forum

• More post-exam feedback: Part 1 (8 pages so far) https://trtl.bz/2FQbkgi and Part 2 (15 pages so far!)  https://trtl.bz/2G7aAnp

• [general] Is there such thing as an OPTIMAL FRM reading list? https://trtl.bz/2FUBZsz
• [P1] Swathi has started a study group for Part 1 https://www.bionicturtle.com/forum/threads/frm-part1-may-2019.22023/
• [P2] Forum member, ag0511 makes a good point that you can start with Current Issues in Part 2 (but keep in mind: they may not repeat from 2018, so you need to check the new syllabus, which was just released by GARP!) https://trtl.bz/2FSdufC
• [P1.T2] Three arguments in favor of understanding basic calculus to sit for the FRM   https://trtl.bz/2FTukdL
• [P1.T3] Altering portfolio beta by shorting ETF shares (instead of futures contracts)  https://trtl.bz/2FSo8Ti
• [P2.T5] Thank you Stuart D Moncrieff This might be the best tip I’ve ever heard for memorizing the difference between a Type and Type II error https://trtl.bz/2FUSjtg

• [P2.T5] How can we understand Tuckman’s Chapter 6 case study in which a trader executes a spread trade by selling a US Treasury bond and buying a TIPS (Treasury inflation protected security)?  https://trtl.bz/2FWr1md

Banking and lending

• 5 Things You Should Know About LIBOR, ARRC, and SOFR (NY Fed) https://trtl.bz/2FNq6Vb “This pending deadline [i.e., banks haven’t agreed to provide LIBOR submissions after 2021, and the FCA has said they won’t attempt to compel submissions after that] is highly concerning. After all, as of 2016, gross exposure to USD LIBOR was close to $200 trillion, roughly equivalent to 10 times the U.S. Gross Domestic Product.“

• Stress-testing banks – a comparative analysis https://www.bis.org/fsi/publ/insights12.htm
• The $200 Trillion Gold Rush That Has Reshaped Private Banking (From Hong Kong to Miami, private bankers are finding new ways to serve the growing ranks of the world’s wealthy)  https://trtl.bz/2r7jg2M
• Part 1 of Bloomberg’s series on the cash-advanced industry https://trtl.bz/2FTVSQh

• A New Kind of Lender Secretly Tracks Your Car to Make Sure You Pay Up https://trtl.bz/2FNDtol
• Non-bank firms are now big players in America’s mortgage market https://trtl.bz/2G47vEC
• Ragin Contagion in Non-Bank Finance (Christopher Whalen) https://trtl.bz/2r8wxIm

Quantitative

• Probability and Statistics for Data Science Part-1 https://trtl.bz/2FJMPRR No new concepts here, yet this is a skillfully efficient introduction
• Why We Need to Audit Algorithms https://hbr.org/2018/11/why-we-need-to-audit-algorithms
• Math in Data Science https://www.dataquest.io/blog/math-in-data-science/

• Welcome to the stochastic age https://techcrunch.com/2018/12/02/welcome-to-the-stochastic-age/

Climate

• The Three Most Chilling Conclusions From the Climate Report https://trtl.bz/2ra2y2G
• Why climate change is the biggest global health threat of the century https://trtl.bz/2FSj9SI

• How a Volatile Climate Shapes the Way People Think https://trtl.bz/2r8a9yI “New research finds that people living in climatically turbulent regions tend to make riskier decisions than those in relatively more stable environments.“

Insurance

• Managing Risk and Uncertainty: The Future of Insurance (a16z) https://a16z.com/2018/11/30/risk-uncertainty-insurance-angela-strange-summit/

• In GE Probe, Ex-Staffers Say Insurance Risks Were Ignored https://trtl.bz/2FUGcfR
• Insuring Against Drop in Chinese Students https://trtl.bz/2FVFxL2

Investing

• U.S. Pension Funds Turn to Riskier Real-Estate Bets (WSJ) https://trtl.bz/2FDFZ0e “American public plans with more than 20,000 members had an average 7% of their assets in real-estate investments at the end of 2017 [up from 4% in 2006].“

• Transcript: MIB Live with Ray Dalio https://ritholtz.com/2018/12/transcript-mib-live-with-ray-dalio/

Case Studies

• Anat Admati on the Financial Crisis of 2008 http://www.econtalk.org/anat-admati-on-the-financial-crisis-of-2008/
• How More Americans Are Getting a Perfect Credit Score https://trtl.bz/2FO56O7

• The Amazing Madoff Clawback https://trtl.bz/2FSzzKX
• [LTCM] Reading Around: The Latticework Framework  https://blogs.cfainstitute.org/investor/2018/11/27/off-the-record/ “The eternal question that has been pondered again and again is: How was it that these extremely smart people [i.e., the founders and leadership of Long-term Capital Management] could screw up so badly?“

Models

• [Book] The Model Thinker: What You Need to Know to Make Data Work for You  https://amzn.to/2Quk1RC
• Model selection 101, using R https://trtl.bz/2FRJNv8

• Fama French with R: Managing Multiple Models https://trtl.bz/2G0eHRM

Technology

• OK, Computer: How Much Is My House Worth? (Proposed regulations would allow the majority of homes to be bought and sold without being appraised by a human) https://trtl.bz/2FQessy

• People still don’t know how to assess cyber risk (Noman Marks) https://trtl.bz/2FRIuvV

Longevity

• US Life Expectancy Falls Further (WSJ) https://trtl.bz/2FTywKx; and: Americans are Dying Even Younger  https://trtl.bz/2FSyPp9 and: The decline in U.S. life expectancy is unlike anything we’ve seen in a century  https://www.popsci.com/life-expectancy-declining The CDC report is here  https://www.cdc.gov/nchs/data/hus/hus17.pdf

Governance

• 2018 Year-End Issues for Audit Committees https://corpgov.law.harvard.edu/2018/12/02/2018-year-end-issues-for-audit-committees/