Bionic Turtle’s Week in Risk – March 28th

Financial Risk Forum Discussions

Estimating VaR

Pricing a theoretical Treasury bond futures contract

  • Talking about the tedious exercise of pricing a theoretical Treasury bond futures contract http://trtl.bz/0330-tbond-futures It’s just cost of carry (COC) where the commodity is a cheapest-to-delivery (CTD) bond, but somehow knowing that does not make it easy!

Relative VaR (rVaR) and Absolute VaR (aVaR)

QQ plot

Countercylical buffer versus capital conservation buffer

Marginal CVA and Incremental CVA

How many ACTUAL days are between Feb 15, 2014 (last coupon) and July 1st, 2014 (settlement)? David got the wrong answer, too, at first!

General Financial Risk Related News

Chief Risk Officers Are Taking on a Broader Role

Companies:

  • A venture capitalist on the risk implications of Spotify’s $1.0 billion convertible note financing (”Financing structures are all about dividing risk. It sometimes really concentrates risk and creates dis-alignment, too. Let me explain.”). See http://jtangovc.com/risk/ These note terms seem very favorable to the investors: “In the event that Spotify doesn’t go public within twelve months the 20 percent discount grows 2.5 percent every six months until such it does.” (David loves spotify, and listens to it all day long while he is working)
  • Theranos Devices Often Failed Accuracy Requirements http://www.wsj.com/articles/theranos-devices-often-failed-accuracy-requirements-1459465578  David has been following this story with some amazement. Does this look like an appropriate Board of Directors? It is shocking that Henry Kissinger didn’t ask tough questions about laboratory protocols (https://www.theranos.com/leadership)

Macro:

Geeky:

Basel:

Climate Change:

Statistics:

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