Bionic Turtle’s Week in Risk (ending September 30th)

Welcome to our Week in Risk blog! This week, we posted new FRM practice questions discussing futures delta and dynamic delta hedging, as well as, risks related to money laundering and financing of terrorism. We post 6 new FRM practice questions each week! Our newest YouTube videos explain the valuation of a plain-vanilla interest rate swap and fixed for fixed currency swaps. Our FRM forum has some really great discussions too! Stop by to get your questions answered or just to learn more in-depth concepts! Have a great week 🙂

New Practice Questions

Futures delta and dynamic delta hedging

New YouTube

In the Forum

  • Congratulations to forum member, rnavarro on completing the ARPM certificate https://trtl.bz/2Q5YvyN. Advanced Risk management and Portfolio Management (ARPM) offers a Certificate (requiring three tests that cover four modules: Financial Engineering for Investment; Data Science for Finance; Quantitative Risk Management; and Quantitative Portfolio Management. See https://www.arpm.co/certificate/
  • [P1.T2*] What is the role of long-run average volatility in the volatility models? https://trtl.bz/2zDrPar
  • [P1.T3] Thank you Chris (@Cjdubs12) for identifying the flaw in my question concerning Hull’s distinction between hedgers, speculators, and arbitrageurs https://trtl.bz/2Q466Os

hedging speculation T3

option price

  • [P1.T3] Interest rate parity (IRP) implies that the currency with the higher interest rate will depreciate (the currency will the lower interest rate, in order to compete, appreciates) https://trtl.bz/2Q4Wd2N
  • [P1.T3] Can a bond issuer repay premium at maturity? https://trtl.bz/2zF6o9b
  • [P1.T3] When can we use the single-cash-flow shortcut for valuing an interest rate swap? https://trtl.bz/2zGYcoD

Filtered historical simulation

  • [P2.T6] Stulz simple example of credit exposure (is not bilateral CVA) https://trtl.bz/2OPyuDA
  • [P2.T6] Calculation of the overcollateralization (O/C) account in Malz three-tier securitization structure example  https://trtl.bz/2OUguYE
  • [P2.T6] Isn’t the threshold the same as the uncollateralized exposure? https://trtl.bz/2zzdpIf
  • [P2.T6] Malz’s derivation of conditional probability in continuous time https://trtl.bz/2OWxiyo
  • [P2.T6] Thank you forum member, David1973 for the detailed illustration of multilateral netting  https://trtl.bz/2OSP85b
  • [P2.T7] The standardized measurement approach (SMA) may be simpler than the AMA, but it remains a non-trivial calculation https://trtl.bz/2zF2Cwm

Quantitative

statistics

rejection sampling

Risk

stakeholders

federal tax cuts

Banking and Investing

  • Jes Staley Stakes Barclays’s Future on Investment Banking https://trtl.bz/2zFNFdp “Staley says he’s quite comfortable with the risks of carrying £238 billion in derivatives liabilities on his balance sheet. Brandishing that credit card of his, he says the bank’s risk committee is far more focused on the £50 billion in unsecured consumer debt on its balance sheet.

Barclays

LIBOR

retirement

Case Studies (including GFC)

lehman brothers

Environment (Climate)

  • Environmental, Social, and Governance (ESG) Integration in the United States (CFA Institute)  https://trtl.bz/2zFf92U “ESG integration in the US is not as advanced as ESG integration in other developed markets … ESG has a definitional problem: about 25% to 33% of survey and workshop participants equate ESG integration with negative screening.
  • A 5-minute Primer on Factoring ERM into credit ratings for insurance companies  https://www.erminsightsbycarol.com/credit-ratings-erm-insurance/

ERM Assessment

Technology (including Data Science)

dirty money

cyberbreach

Fintech

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