Bionic Turtle’s Week in Risk — Ending June 19th

We’ve compiled some great feedback from candidates who took the Part 1 and 2 FRM exams in May! Our forum is also very active again now that candidates are beginning to study for the November exam 🙂

Financial Risk Forum Discussions

FRM and BT

Exam Feedback

Quantitative P1.T2

  • Understanding Bayesian A/B testing (using baseball statistics) http://varianceexplained.org/r/bayesian_ab_baseball/ This is a great post (series of posts) on testing posterior distributions because it illustrates some Bayesian concepts concretely (this is the value of code thinking!). He uses the beta distribution to characterize the prior expectations of batting averages; you may recall that in risk, the flexible beta distribution is commonly used to characterize loss given default (LGD). Writes “We’d need to know the probability one beta distribution is greater than another. This question is not trivial to answer, and I’m going to illustrate four routes that are common lines of attack in a Bayesian problem: Simulation of posterior draws; Numerical integration; Closed-form solution; and Closed-form approximation”

Risk

  • The Committee of Sponsoring Organizations of the Treadway Commission (COSO) has unveiled an update to its Enterprise Risk Management – Integrated Framework and is seeking public comment of the proposal. Here is the public exposure (132 pp) at http://trtl.bz/21ufutT but here is the shorter (14 pp) Executive Summary at http://trtl.bz/1Y3hhZi

ERM


IOSCO

  • Three Ways to Identify Governance Risk https://blogs.cfainstitute.org/investor/2016/06/16/three-ways-to-identify-governance-risk/ “Before investing, Newton conducts thorough research to analyze and understand a company on three particular levels: 1. Board of Directors: How is the board composed in terms of diversity, tenure, and independence? 2. History: Does the company have a track record of environmental carelessness or infractions? And 3. Culture: How does the firm engage with the community and exercise stewardship over shareholder resources?”

Regulations & Policy

(Negative) Interest rates

FinTech

recode

  • Accenture’s Technology Vision for Banking 2016 Report (see http://trtl.bz/1WXWSnz) highlights five emerging technology trends shaping the new business landscape: Platform Economy, Digital Trust, Liquid Workforce, Intelligent Automation and Predictable Disruption. Here is the Executive Summary at http://trtl.bz/1XyJBls

 

Brexit

Britax

Other

CFA

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