Bionic Turtle’s Week in Risk (ending January 27th)

Welcome to our Week in Risk blog! Check out the newest videos on our YouTube channel discussing binomial option pricing models and foreign currency hedges. You can also stop by our forum to view our latest FRM practice questions and the most recent discussions in our FRM forum. We’ve also compiled some very interesting risk articles from around the globe. Have a great week!

New YouTube

  • Binomial option pricing model for equity index, currencies, and futures options (FRM T4-9)  https://trtl.bz/2R7Vv5a

New Practice Questions

In the Forum

  • [P1.T2] The perimeter of a probability matrix contains unconditional probabilities  https://trtl.bz/2WoCH5e
  • [P1.T3] The formula for equity beta hedge with index futures contracts uses the target beta of the net portfolio   https://trtl.bz/2MBTOfm
  • [P1.T3*] Bond convexity dynamics https://trtl.bz/2DDo32O
  • [P1.T4] An observant question about units in Tuckman’s DV01-based regression hedge  https://trtl.bz/2FRuMsa
  • [P2.T5] Why you never need to interpolate the probability-threshold expected shortfall (ES) that always applies in the FRM (as opposed to the quantile-delimited ES which we never assume)  https://trtl.bz/2FULar5

cox-ingersoll

  • [P2.T5*] Can we better understand the relationship between the implied volatility smile and option maturity? https://trtl.bz/2B6vZYy
  • [P2.T5*] What is the decision rule for rejection in the VaR backest? https://trtl.bz/2B5qmKy
  • [P2.T7] Dowd’s Frechet GEV EVT formula is difficult to execute https://trtl.bz/2FKYi2W
  • [P2.T7] Thank you JulioFRM for noticing the difference between liquidity cost (LC) and liquidity value at risk (LVaR)  https://trtl.bz/2FIhQF6

Risk

fundamental review of the trading book

business uncertainty

Investing and Personal Finance

treasury yield curve

hedge funds

Tech and Cyber

blockchain

Quant

  • The Poisson Distribution and Poisson Process Explained (A straightforward walk-through of a useful statistical concept)  https://trtl.bz/2RUWoTU

decision trees

Governance (and Case Studies)

bank loan and mortgage data leak

Climate

global warming

  • An Exclusive Look at the Companies Most Exposed to Climate Change Risk — and What They’re Doing About It (Barron’s)  https://trtl.bz/2RRCeKo
  • What Insurers Think About Climate Change: Market Research Takeaways https://trtl.bz/2G1BfA4

Financial Products

life insurance innovation

Other

glassdoor ratings boost

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