Bionic Turtle’s Week in Risk (ending November 11th)

Welcome to our Week in Risk! It is exam week, and our forum is full of informative FRM discussions that will help you to make sure you’ve learned the FRM concepts in depth for the exam on Saturday! Have a great week and good luck on the exam!

In the forum (selected only)

  • [P1.T1] Thank you evelyn.peng for the insight on why (in the mean-variance framework) the predicted variance is always greater than historical variance https://trtl.bz/2qwDLFK
  • [P1.T1] A typical pattern-like question for the CAPM/SML cluster https://trtl.bz/2FgiIRV
  • [P1.T1] Is there any shortcuts to utilizing the risk-adjusted performance measures (RAPMs; e.g., Sharpe, Treynor)?  https://trtl.bz/2qCGfSP
  • [P1.T1] Good question by flosoma about the interpretation of the APT as an ex post and/or ex ante model https://trtl.bz/2FizBvo
  • [P1.T2] Bayes Theorem in English: Posterior = (Likelihood*Prior)/Evidence https://trtl.bz/2F4rnXl

bayes-theorem

  • [P1.T2] An FRM candidate should be comfortable with covariance(X,Y) = σ(X,Y) = E(XY) – E(X)*E(Y) and its relationship to indendent variables https://trtl.bz/2quHKlU
  • [P1.T2 Hull EOC 10.21] GARCH(1,1) parameters https://trtl.bz/2qDe2v8
  • [GARP P1.T3*] Is there an easy way to relate the directional relationship between futures prices and interest rates?  https://trtl.bz/2Ff46lR
  • [P1.T3] Thank you, again, flosoma for the reminder thank you can use the calculators [2nd] + [Bond] function to retrieve the clean price! https://trtl.bz/2quGkrT

interest rates

payoff-diagram

counterparty-risk

  • [P2.T8*] What does Grinold mean by scaling and trimming alphas? https://trtl.bz/2quFoUp
  • [P2.T8] We can alternatively solve surplus at risk (SaR) by calculation surplus volatility as a percentage (it’s just not obvious sometimes) https://trtl.bz/2qwj5gQ
  • [P2.T8] Understanding how regressions translate into factor-based benchmark portfolios   https://trtl.bz/2qx7fDb

Banking

  • Wells Fargo reports another internal error that caused a failure to offer mortgage loan modifications to 545 borrows who consequently lost their homes https://trtl.bz/2F84hzp
  • Banks in the changing world of financial intermediation https://trtl.bz/2FiiObB

banks global equity

Risk

risks

excel var

riskalyze

Governance

shareholder initiatives

Investing

  • Alpha within Factors https://osam.com/Commentary/alpha-within-factors “At OSAM, we measure valuation using a composite index that takes inputs from the P/E ratio, the enterprise-value-to-ebitda ratio, the enterprise-value-to-free-cash-flow ratio and the price-to-sales ratio. In testing, we’ve found that this approach generates excess returns that are smoother and more consistent than the metrics in isolation.
  • The Radical Saving (aka, FIRE) Trend Is Based on Fantasy https://trtl.bz/2FtHWwr
  • Quants Are Facing a Crisis of Confidence https://trtl.bz/2qEAu74

quants crisis

Quantitative

linear regression

Career

5-hour rule

Other

strong dollar

 

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