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WIFE Week in Financial Education (2021-04-19)

David Harper CFA FRM

David Harper CFA FRM
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I hope you enjoy my latest time series question set (P1.T2.21.2). It was fun to develop these with actual code snippets. GARP's text (Chapter 11) on the Augmented Dickey-Fuller (ADF) might seem dense to readers, but you'll see that in R we can execute the test with a single function call, adf.test(). As a practical exam matter, I recommend asking yourself, What is the null hypothesis in the ADF? Then you can identify the implication of a high/low p-value (that's the most likely exam-type question). In the case of my latest factor theory (Andrew Ang) question set, I'm really happy with how the third question turned out (21.2.3): I think this simple visual test is a much better quiz of the low-risk anomaly that my previous questions on the concept. Have a great week!

New Practice Questions
In the forum (beginners/new learners)
In the forum (practitioners or experienced candidates)
  • Economic capital confidence level (EC EL): A simple question by @pascalb refers to the fact that banks can choose simultaneously different confidence level(s) depending on the purpose/audience https://trtl.bz/3n21t9j
  • Term structure assumptions (when upward-sloping): an unchanged term structure reflects an assumption of a risk premium, while realized forwards reflects an assumption of no risk premium https://trtl.bz/3x58Zoq
  • Key rate 01s (KR01) have the same directionality as duration and DV01s https://trtl.bz/3amcFrU
  • Term structure simulation: what exactly is dw? https://trtl.bz/3v0Kgjk
  • It is a thematic in Jon Gregory that the special purpose vehicle (SPV) is a thing which transforms counterparty risk into legal risk https://trtl.bz/3gkv4cA
  • How does counterparty risk influence the CDS-bond basis? https://trtl.bz/3edXNgz
Curated links

Risk

Investing/Finance
Data
Other
 
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