Valuation & Risk Models - Credit Risk Measurement
Welcome to our Week in Risk blog! We hope that everyone did well on the FRM exam over the weekend. Our forum members are posting some great feedback on the exam. Stop by the forum and join the discussions! David has also started a new YouTube playlist covering CFA content! Make sure to stop by our YouTube channel and subscribe so you don’t miss out on our newest videos. Have a great week!
1. Valuation & Risk Models: P1.T4.919. Linking internal rating systems to external credit ratings (de Servigny Ch.2) https://trtl.bz/2vQQWE1 We wrapped up our deServigny question series last week. David discusses linking internal rating systems to external credit ratings in these FRM practice questions.
2. Credit Risk Measurement & Management: P2.T6.910. Credit exposure profiles (Gregory Ch.7) https://trtl.bz/2w103lt These FRM practice questions for Gregory, Chapter 7 cover factors that affect the calculation of the credit exposure profile and summarize the impact of collateral on exposure.
1. Valuation & Risk Models: Fixed income: Hedging the DV01 (FRM T4-33) https://trtl.bz/2HIlnlx This video looks at how we would apply the dollar value of 01 (DV01). We are following the sequence of Bruce Tuckman’s Chapter 4 in topic 4 of the FRM curriculum.
2. Chartered Financial Analyst ® (CFA) Level 1: Time value of Money (TVM), Part 1 https://trtl.bz/2LYL3iP David has started a new video playlist covering CFA concepts! In this first video, he looks at the first three learning outcomes that are associated with the time value of money.
1. Exam Feedback: Our forum members are very busy providing feedback about the FRM exam from this past weekend. Stop in and join the discussions! Part 1 is here: https://trtl.bz/2QlXvIl and Part 2 is here: https://trtl.bz/2LSXnB9
2. Forward Rate Notion: David was happy to answer this FRM question in our forum about proper forward rate notation, if only because he has had years of practice reading and writing the different styles used: https://trtl.bz/2PWr3vC
3. Component VaR vs. Incremental VaR: Forum member, gprisby, asked a good question: in regard to portfolio VaR, is component VaR always greater than incremental VaR? https://trtl.bz/2Q2KWkL
1. Cyber Security: Finding Responses to Global Threads: The Financial Stability Board (FSB) published Cyber Security: Finding Responses to Global Threads https://trtl.bz/2VjacnM “Cyber threats to the financial sector are global by the power of two. Cyber risks themselves are global. They can originate anywhere and affect anybody around the globe.”
2. LIBOR: This Man Wants to Mend, Not End, Libor (WSJ) https://trtl.bz/2vFM58C Timothy Bowler, president of ICE Benchmark Administration, “Don’t ditch Libor altogether; improve it. This year, the exchange rolled out a revamped version, dubbed the U.S. Dollar ICE Bank Yield Index, that Mr. Bowler and its fans say is now more accurate and harder to exploit.”
3. Climate Risks to Portfolios: Brian Deese shares four charts illustrating the potential impact from climate-related risks on U.S. municipal bonds, commercial mortgage-backed securities and utility stocks. “Increasing average global temperatures are boosting the frequency at which extreme weather events occur, as well as their intensity. These events, including hurricanes and coastal flooding, pose risks to portfolios that have been hard to pinpoint–until now.” https://trtl.bz/2PQwe0m
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What Your Colleagues Are Saying
I took the exam in Sydney and had a similar feeling about the exam being more qualitative (but no less rigorous). However, I felt I was better prepared thanks to the BT's relentless focus on throwing real life examples and methods.
I subscribed to BT for my Part 1 FRM exam and just wanted to say thanks for the depth and breadth of the study materials and practice questions. I found out that I scored in the top quartile of every topic and I absolutely could not have done this without using BT - I spent many, many hours going over the practice questions and answers! I wanted to express my appreciation and gratitude to your team for your hard work in creating these materials. Thanks!
The BT scripts, practice questions, global topic drills and mock exams were a great help in understanding the concepts (which I could already apply on the job!) and where structured in such a manner that the breadth and depth where optimal for exam preparation - clearly the exam would have been a catastrophe without BT!
Passed first time. Happy all the hard work paid off. BT was the right choice. Thanks David and Nicole for your work and commitment.
Passed! 1,4,1,2,1,4! Thank you David and Nicole for your efforts! Thank you BT! Couldn't have done it otherwise. I'm a mechanical engineer who had a career in petroleum services, then I decided to switch career to financial risk management. Passed part 1 from the first time with top quartiles and passed part 2 from the first time as well. All with BT! BT is always the recommendation I give to people aiming at the FRM designation! Thank you again!
Passed Part I and Part II first time - absolutely could not have done it without BT. Like a few others I didn't even both buying the GARP books for Part II and went solely with BT materials. Just read, answered questions, watched videos, read, more questions, and... more questions! All the practice question taking looked to pay off. Thanks again Bionic Turtle for a great curriculum. Keep up the fantastic work!