What's new

Week in risk (ending April 24th)

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
FRM Exam (week ending 4/24)

Key definitions
Value at Risk (VaR) and expected shortfall (ES)
Thank you for making us think hard :eek:
Helpful tips or insights
Congratulations for good work! :D
Notable Errors :oops:

Risk (general risk-related news that I find relevant, or just interesting ... )

Risk perception
Finance and Investing
Fintech
Regulation
Interest Rates
Conferences
Fun or Humorous
 
Last edited:

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
I just wanted to share three spreadsheet snippets (i.e., very simple sheets) that illustrate three of the concepts discussed above. I hope they are helpful!

1. Default probability definitions
This spreadsheet snippet compares the different default probability definitions, for both annual discrete and continuous (Malz and Hull assume continuous): https://www.dropbox.com/s/55f00wzt749ee1x/0425-T6-default-probabilities.xlsx?dl=0



2. Normal expected shortfall has very convenient properties
This spreadsheet snippet demonstrates the convenient property of normal expected shortfall (ES) https://www.dropbox.com/s/55f00wzt749ee1x/0425-T6-default-probabilities.xlsx?dl=0
(provoked by @Kavita.bhangdia 's question at https://www.bionicturtle.com/forum/threads/var-and-es.9497/)



3. Minimum variance hedge (we'd much prefer a higher correlation to hedge!)
This sheet illustrates the minimum variance hedge under two very different correlation assumptions: https://www.dropbox.com/s/is5hrnapuyk541k/0419-min-var-hedge.xlsx?dl=0
(provoked by @materio 's question at https://www.bionicturtle.com/forum/threads/optimal-hedge-ratio-correlation-understanding.9482/)
 
Last edited:
Top