Bionic Turtle’s Week in Risk (ending September 23rd)

Welcome to our Week in Risk blog! Our new practice questions this week cover the FRM learning objectives in Topic 4, Hull Chapter 19 and Topic 7, Outsourcing. David has posted new YouTube videos discussing plain vanilla interest rate swaps and comparative advantage in an interest rate swap. We’ve also included many FRM forum discussions this week, and other risk articles that we hope you will find interesting. Have a great week!

New Practice Questions

Option Delta

New YouTube

In the Forum

  • [GARP P2] Liquidity at risk (LaR) https://trtl.bz/2xhvuJE
  • [P1.T2] Forum member, agattik makes a good point: there are two possible correlations implied by the coefficient of determination (R^2) in a univariate regression https://trtl.bz/2xhvRUy
  • [P1.T2] Properties of an internally consistent (aka, positive semi-definite) variance-covariance matrix  https://trtl.bz/2xmUHCj

EWMA and GARCH(1,1)

Credit rating assignment

Financial Crisis Anniversary

Lehman collapse

Risk and Banking

hurricane florence

Insured Exposure

  • The Risk of Derivatives Isn’t Gone. It’s Merely Morphed (Satyajit Das) https://trtl.bz/2xiz1am For FRM candidates, this is an excellent summary of CCP waterfall and its risks: “If a counterparty fails to meet a margin call, its positions are closed out, with the pool of already-provided deposits applied to its losses. If the amount held is insufficient, the clearing house covers losses from three possible sources, in a prescribed order: its own capital; contributions from non-defaulting members; or assessments against clearing members to inject additional funds. The hierarchy of risk-bearing resembles the loss-absorbing capital layers in a collateralized debt obligation, the problem child of 2008.

Quantitative

Cryptology

New Books

Agricultural Risk Transfer

  • [book] Credit-Risk Modelling: Theoretical Foundations, Diagnostic Tools, Practical Examples, and Numerical Recipes in Python https://amzn.to/2xNY7O2

Other

hindsight bias

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