Bionic Turtle’s Week in Risk (ending January 13th)

Welcome to our Week in Risk blog! This week we’ve posted two new YouTube videos discussing the Binomial option pricing model and Exchange options. We’ve also included some discussions from our FRM forum, including our updated historical pass rates graph. We hope you enjoy all of the extra risk links that we’ve provided also! Have a great week!

New YouTube

New Practice Questions

  • P1.T4.901. Exploiting arbitrage opportunities with a replicating bond portfolio (also: clean versus dirty, and day-count conventions) (Tuckman Ch.1) https://trtl.bz/2CU2jzf

Exploiting arbitrage opportunities with a replicating bond portfolio

New Forum

  • [GARP] We have the pass rates for the November 2018 exam! David has updated our historical pass rate graph to reflect the updates  https://trtl.bz/2RrWr9j

FRM-pass-rates-nov18

Balance sheet of P&C versus life insurance company

  • [P1.T4] Option on futures contract (aka, futures options) are generally American; they can be exercised any time during the life of the contract https://trtl.bz/2Fk3DxT
  • [P2.T5] Dowd’s Interpretation of QQ plot https://trtl.bz/2Fvf2Km
  • [P2.T5] In the duration approach to fixed-income VaR mapping, do we assume the sole risk factor is Macaulay or modified duration?  https://trtl.bz/2Fva7ZW
  • [P2.T5] The VaR backtest presumes that the failure rate is an efficient and consistent estimator  https://trtl.bz/2FvsPAI
  • [P2.T7] Dowd’s constant spread approach is a special case of his exogenous approach to liquidity-adjusted value at risk (LVaR)  https://trtl.bz/2FvA6Ar

exogenous approach to liquidity-adjusted value at risk (LVaR)

  • [P2.T7] A subtle difference between VaR and stressed VaR in the Basel III internal models approach to market risk  https://trtl.bz/2FvjybS

Risk

Eurasia Group's Top (Political) Risks for 2019

The market risk framework (in brief)

FinTech, Cyber and Data

Digital is reshaping US health insurance—winners are moving fast

The IoT Data Explosion: How Big Is the IoT Data Market

Quant

Volatility: how algos changed the rhythm of the market

Investing

Climate

Ocean Warming Is Accelerating Faster Than Thought

Other

The 30-Year Mortgage is an Intrinsically Toxic Product

 

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