Bionic Turtle’s Week in Risk (ending October 14th)

Welcome to our Week in Risk blog! This week, we wrapped up our Hull, Chapter 19 reading with 6 new practice questions. Our newest YouTube video asks the question, “Is it optimal to early exercise an option?”. Our forum has been VERY busy! There are some really great FRM forum discussions that you will want to take a look at before the exam. We hope you have a great week!

New Practice Questions

  • P1.T4.820. Delta- and gamma-neutral position; and the relationship between delta, theta, and gamma (Hull Ch.19)  https://trtl.bz/2A0jA8y

delta gamma vega

New YouTube

In the forum (an asterisk “*” indicates the OP still may need help)

math-resources

day count

  • [P1.T3] Must know discrete/lumpy versions of cost of carry (COC) model https://trtl.bz/2zYY18q
  • [P1.T3] In general the interest rate futures contract (e.g., T-bond futures, Eurodollar futures) quotes (aka, prices) have an inverse relationship with interest rates https://trtl.bz/2pNYuo7
  • [P1.T3] Thank you Chris (Cjdubs12 ) for identifying an “optical illusion” in my swap valuation spreadsheet https://trtl.bz/2pKsfGa
  • [P1.T3] Why is the current credit exposure always zero for one of the swap counterparties?   https://trtl.bz/2pQ0uMx
  • [P1.T3] Thank you Maiyaa for help with callable convertible bond and interest rate volatility   https://trtl.bz/2C4XZNx

convertible bond

short gamma

  • [P1.T4] The roll of three dice as a probability distribution that characterizes loss severity   https://trtl.bz/2IKEATF
  • [P1.T4] What are the units of Greek theta? https://trtl.bz/2pHPCAg
  • [P1.T4] Thank you clive.bastow for help in better phrasing the change to a negative gamma   https://trtl.bz/2pKHxLl
  • [P1.T4] A portfolio of written (short) at-the-money calls and puts with near-term maturity has high, positive position theta  https://trtl.bz/2IONeAi
  • [P1.T4] Calculating the full (aka, cash, dirty) bond price when settlement is between coupons   https://trtl.bz/2pQsJe9

full price flat price

hull.13.08

  • [P1.T4*] Can the OIS be a swap rate, and is it is good proxy for the spot risk-free rate?   https://trtl.bz/2pRdscL
  • [P2.T5] Does anyone have a (detailed) IRC spreadsheet? https://trtl.bz/2pLImDu
  • [P2.T5] The BSM model-based mispricing implications of an uncertain volatility that is positively correlated with asset price  https://trtl.bz/2pLAsKl
  • [P2.T5] What is meant by, Conditional time-varying volatility will reveal as an unconditional heavy-tailed distribution  https://trtl.bz/2pOLiPQ
  • [P2.T5] Is there a relationship between the CDS spread and the underlying the CDO equity tranche excess spread? Thank you  emilioalzamora1 for a truly killer answer! https://trtl.bz/2IVlMko

cds spread

  • [P2.T6*] Computing the z-spread in Malz’ Chapter 7 https://trtl.bz/2INGFxT
  • [P2.T6] In general, Sum(marginal CVA) = Sum(incremental CVA) ≤ Sum(standalone CVA) but, at the same time, the sum of incremental CVAs is not necessarily meaningful https://trtl.bz/2pRTr6a

101218-incremental-cva

Banking and Regulatory

startups

Risk

cecl

Technology

AWS

FICO

Climate and Natural

Career and Education

technology diffusion

Investing and Personal Finance

real estate

Other (Quantitative, Case Study, Governance)

casual diagram

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