Bionic Turtle’s Week in Risk (ending October 7th)

Welcome to our Week in Risk! We’ve included new practice questions from Hull, Chapter 19 in Topic 4 and managing money laundering and financing of terrorism in Topic 7 of the FRM curriculum. David recorded new YouTube videos discussing Put-call parity and Lower bounds for European stock option prices. We’ve also included many discussions from our FRM forum! We hope you have a great week!

New Practice Questions

greek

 

  • P2.T7.813. Managing money laundering and financing of terrorism (ML/FT) risks when outsourcing or engaging in correspondent banking https://trtl.bz/2zPHuDC

New YouTube Videos

In the Forum

black-scholes-inputs

convertible arbitrage strategy

profit loss

  • [P1.T4] Relationship between yield volatility, duration and convexity https://trtl.bz/2zOBaMP
  • [P2.T5*] Value at risk (VaR) and expected shortfall (ES) when the distribution is continuous  https://trtl.bz/2P8H6FL
  • [P1.T5] Excellent nuanced argument by Maiyaa with respect to trading a straddle versus strangle based on distributional assumptions https://trtl.bz/2xXSkWX

strangle and straddle

Constant Spread Approach

Banking and Regulatory

  • [IMF Global Financial Stability Report October 2018] Regulatory Reform 10 Years after the Global Financial Crisis  https://trtl.bz/2zXR1sn “new standards have contributed to a more resilient financial system—less leveraged, more liquid, and better and more intensively supervised, especially at large banks … But a new risk has emerged: reform fatigue.
  • Research lays bare the banking issue https://thefinanser.com/2018/10/research-lays-bare-banking-issue.html/

banking

Basel III Monitoring Report

Economic and International

world debt

Risk

  • [ML/FT] Inside Danske’s €200bn dirty money scandal (ft.com, pdf) https://trtl.bz/2RwppRT
  • [ML/FT] Estonia says over $1 trillion flowed through the country in 2008-2017 https://trtl.bz/2BY0mSt
  • [ML/FT] Moorad Choudhry’s recent talk (at ALM Partners’ recent conference) on Strategic Asset-Liability Management: The Future of Bank Risk Management https://trtl.bz/2zVuywf
  • Value and resilience through better risk management (McKinsey) https://trtl.bz/2zWlG9z

holistic risk management

stress testing methodology

Technology

mortgage loan apps

Climate and Natural

raising temperatures

Career and Education

  • M.B.A. Applications Decline at Harvard, Wharton, Other Elite Schools as Degree Loses Luster  https://trtl.bz/2zXsBPT “The M.B.A. was once considered a prerequisite … But as students have sought out shorter and more specialized degrees, applications have been scattered across a wider array of schools and types of business degrees

harvard applications

Investing and Personal Finance

Other

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