Bionic Turtle’s Week in Risk — Ending January 8th

New Practice Question Sets

In the forum this week (selected only)

Bank and banking

  • Basel postpones bank reform vote amid policy differences (Global financial supervisors fail to agree on latest capital rules) long-awaited meeting was expected to sign off a series of reforms intended to make it harder for banks to avoid the higher Basel III capital requirements that were put in place after the financial crisis … The main sticking point between supervisors in the US and their European counterparts is the so-called output floor that limits the extent to which banks can use their own models to calculate the riskiness of their lending. The floor in effect prevents them from using risk estimates that are too far below the outputs of a standardised model devised by regulators.” (Here is the uninformative BIS press release and reported by

Political and regulatory risk, including systemic risk (including BIS)


Case Studies and Companies, including Strategic or Reputation risk

Technology, including FinTech and Cybersecurity

Natural Science, including Climate and Energy

  • Natural catastrophe losses at their highest for four years high number of flood events, including river flooding and flash floods, was exceptional and accounted for 34% of overall losses, compared with an average of 21% over the past ten years … A look at the weather-related catastrophes of 2016 shows the potential effects of unchecked climate change. Of course, individual events themselves can never be attributed directly to climate change. But there are now many indications that certain events – such as persistent weather systems or storms bringing torrential rain and hail – are more likely to occur in certain regions as a result of climate change,” explained Peter Höppe, Head of Munich Re’s Geo Risks Research Unit.


Exams, Financial Associations (GARP, FRM, CFA Institute) and Careers, including CRO Interviews

  • Think Like a Futurist to Be Prepared for the Totally Unexpected (The art and science of futuring is fast becoming a necessary skill, where we read signals, see trends and ruthlessly test our own assumptions) are relentlessly critical of their own assumptions. Once you’re done coming up with wild-eyed notions about what changes might arise as a result of various forces, you tear apart your own work.

Books and Courses (including Journal/SSRN)

Data science (primarily R), including Alternative Data

  • Datacamp is offering 50% off its one year subscription but only for two more days David loves datacamp, it has been instrumental in his development as a data scientist. He has completed fifteen (15) of their courses. Highly recommended if you want to add code proficiency to your capabilities.

Personal finance

  • The Champions of the 401(k) Lament the Revolution They Started (The dominant vehicle for retirement savings has fallen short of its early backers’ rosy expectations; longer life spans, high fees and stock-market declines) “Fifty-two percent of U.S. households are at risk of running low on money during retirement, based on projections of assets, home prices, debt levels and Social Security income, according to Boston College’s Center for Retirement Research. That is up from 31% of households in 1983. Roughly 45% of all households currently have zero saved for retirement, according to the National Institute on Retirement Security.

Risk Foundations (FRM P1.T1)

  • Risk measurement: A call for standards by Carl Bacon course, there are big differences between the measurements of performance and risk. While every security and fund is subject to a consistent measure of performance – profit and loss – a relevant measure of risk for one security or strategy may be quite irrelevant to another. Still, there is consensus on the use of some measures, even if they form an imperfect and incomplete list: exposure, volatility, beta, correlation, value-at-risk, first- and second-order Taylor expansions like delta, gamma, duration and convexity, among others. Standards like Gips focus on ex-post risk and return measures with quantitative analysis of what has already happened. Extending such standards to the realm of ex-ante measures will be a challenge because of the inherent diversity of methodologies and the uncertainty in forecasted measures. It is more difficult to establish efficacy of a given measure if it is predictive rather than historical.

Financial Markets and Products, including Interest Rates, Commodity Risk, and Foreign Exchange (FX)(FRM P1.T3)

Market risk, including Equity Risk (FRM P1.T5)

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