Bionic Turtle’s Week in Risk (ending January 6th)

Happy New Year and welcome to our Week in Risk! This week’s blog includes two new YouTube videos. The first video is an introduction to binomial option pricing model: two-step. In the second video, David discusses Asian Options. We’ve included some interesting threads from our forum, and we’ve also compiled interesting risk articles from around the globe. We hope you have a great week!

New YouTube

New Practice Questions

Discount function and the Law of One Price

In the Forum

Why doesn't effective convexity have a parallel structure to effective duration?

In some cases is not expected loss a risk?

  • [P2.T5] More discussion on the Black-Scholes option pricing model and implied volatility  https://trtl.bz/2F2geVk
  • [P2.T5] There are simple, special cases of the formula for modified duration when the bond is either zero-coupon or priced-at-par  https://trtl.bz/2EWv53P
  • [P2.T5] Which convexity formulas does an FRM candidate need to know, if any? https://trtl.bz/2ArqUtA
  • [P2.T5] Counterintuitive math in Dowd’s correlation-weighted historical simulation  https://trtl.bz/2FbUHe0
  • [P2.T6] The Merton model for credit risk only appears to have different versions  https://trtl.bz/2F0UaeR
  • [P2.T6] Where does the exam cover portfolio unexpected loss (UL) and risk contribution (RC)?  https://trtl.bz/2F0UCtz

Where does the exam cover portfolio unexpected loss (UL) and risk contribution (RC)?

Risk

Global Claims Review 2018

Regulatory

The Basel framework in 100 jurisdictions: implementation status and proportionality practices 

Cyber

Fighting back against synthetic identity fraud

  • [GARP] Directors Come to Grips with Digital Transformation (NACD and EY-IIF reports track cyber and other board-level priorities; Protiviti-N.C. State finds greater desire to invest in risk management)  https://trtl.bz/2FaHBNe

Governance

  • 2019 Global & Regional Trends in Corporate Governance https://trtl.bz/2FdWor6
  • NACD Public Company Governance Survey https://corpgov.law.harvard.edu/2019/01/06/nacd-public-company-governance-survey/ “Directors report that changes in the regulatory climate, the prospect of an economic slowdown, growing cybersecurity threats, business-model disruptions, and worsening geopolitical volatility will most significantly impact their organizations in 2019. These often interconnected risks have increased business uncertainty as management finds their likelihood difficult to anticipate and their impacts difficult to mitigate.

NACD Public Company Governance Survey

Quant

Dice, Polls & Dirichlet Multinomials. A few applications of Bayesian Statistics using probabilistic programming

Investing

Three Theories on the FX Flash Crash: Robots, Apple, Yen Shorts

Other

Why you should care about the Nate Silver vs. Nassim Taleb Twitter war

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