Bionic Turtle’s Week in Risk (ending March 3rd)

Welcome to our Week in Risk blog! Stop by our forum to join in on the FRM discussions and visit our YouTube channel to view in-depth videos that David posts weekly, including his newest R programming playlist! This week, we’ve included our newest FRM practice questions and some great risk articles that we hope you will find interesting. Have a great week!

New Practice Questions

Interest rate factors and the DV01-based hedge

New YouTube

  • R Programming: Introduction: List data structure (R Intro-02) The 2nd video in my new playlist that introduces R (#rstats) programming!

In the forum

  • [P1.T1] How does value at risk (VaR) change if the assumption is changed from zero expected return to non-zero? and basic VaR issues that every candidate needs to know
  • [P1.T1] Percentage point versus percent, and why a good question does not make you memorize the difference

Portfolio return and volatility

Option spread strategies

  • [P1.T4] Understanding expected shortfall (ES) given a discrete distribution
  • [P1.T4] Bootstrapping discount factors from the swap rate curve
  • [P2.T5] Dowd’s derivation of the standard error of the quantile estimator
  • [P2.T6] Are there better references (than De Laurentis) for understanding Altman’s Z as a type of linear discriminant?
  • [P2.T6] The collateral and the haircut in a repo transaction cover different risks
  • [P2.T6] Understanding the relationship between standalone, incremental and marginal credit valuation adjustment (CVA)
  • [P2.T6] Understanding the unusual shape of the exposure profile of a credit default swap (CDS)
  • [P2.T6] Jon Gregory himself registered to comment in our forum (with respect to a question about the CDS-bond basis). Great to see you Jon!

Jon Gregory

  • [P2.T6] Stulz’s credit risk reading has a contradiction between theoretical model and empirical observation with respect to interest rate impacts
  • [P2.T6] CVA subtracts from the risk-free value
  • [P2.T7] How to tabulate (aka, convolute)per loss distribution approach (LDA) given severity and frequency distributions
  • [P2.T7] What is the IEA factor in calculation of Operational Risk ILDC component?

Banks and Banking

Small town banks

  • JPMorgan Fueled Two Financial Crises, Third Coming? Notice he claims mistakenly that VaR assumes a normal distribution (I commented to correct him)
  • Why the Life-Insurance Industry Wants to Creep on Your Instagram
  • First Terror Bond Sale Opens New High-Yield Catastrophe Market (Speaking of innovative catastrophe bonds) World Bank’s ‘pandemic bonds’ under scrutiny after failing to pay out on Ebola

Risk and Regulators

cyber insurance claims

safenet security


Five risk factors

Fintech and Data Science

Data Science

High Low Close Bars

  • Getting started with Git and GitHub: the complete beginner’s guide A good way to start doing data science is to learn git and github


Personal Finance

FICO score

stock buybacks

ESG (Climate)



nuclear power


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