Blog Article

Subcribe to the Bionic Turtle Blog

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!

week in risk FRM practice questions

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.

Internal Ratings Systems

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.

FRM youtube videos

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.

FRM YouTube

FRM forum

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

FRM Exam Feedback

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

Risk news

1. Cyber Security: Finding Responses to Global Threads: The Financial Stability Board (FSB) published Cyber Security: Finding Responses to Global Threads https://trtl.bz/2VjacnMCyber 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

FRM Facebook

Recent Posts

Man at computer

Week in Financial Education (May 17, 2021)

Welcome to another Week in Financial Education! This week saw some great questions and fascinating insights. I will just highlight the instructive example of a...

Read More
Laptop, coffee, pad and pen, and phone

Week in Financial Education (May 10, 2021)

Welcome to the latest week in financial education (WIFE)! As the May exams have started, we experienced another busy week. We are grateful for some...

Read More
Typing at laptop

Week in Financial Education (May 3, 2021)

Hello, welcome to another WIFE! Our FRM forum was super busy last week. I wrote a long reply to the question (link below) about the...

Read More

What Your Colleagues Are Saying

Reach Out Anytime

Not finding what you’re looking for?

Contact Us