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WIFE Week in Risk (ending May 14th)

David Harper CFA FRM

David Harper CFA FRM
Staff member
In the forum this week (selected only)
Bank, banking and regulation
  • [European Central Bank] The Eurosystem collateral framework explained http://trtl.bz/2rhv1SP
  • Fintech and Shadow Banks http://johnhcochrane.blogspot.com/2017/05/fintech-and-shadow-banks.html “Our mortgage system is based on a rather crazy product, the fixed rate mortgage with a costly option to refinance. No other country does this. I know a lot of finance professors, and none of them can tell you the optimal refinancing rule” and a few gems like “The rise of fintech proves that there is no essential economic tie between loan origination and deposits or other short-term financing.”
  • [GARP] Banks Need to Revisit CRO Compensation and Board Risk Committee Composition http://trtl.bz/2rh2Z9Z
  • [GARP] Are You Ready for the Next Piece of the FRTB Puzzle? (Credit valuation adjustment, CVA, and its capital implications come into focus) http://trtl.bz/2rgS5Bp
Natural Science, including Climate and Energy
  • The Doomsday Glacier http://www.rollingstone.com/politics/features/the-doomsday-glacier-w481260 “Someday soon – possibly even by the time you read this – a chunk of the Larsen C ice shelf will break off and float into the ocean that surrounds Antarctica. The crack in the Larsen C, which is a close cousin to the Larsen B that broke up in 2002, has been developing for several years. But in the past few months, it has increased dramatically. As I write this, the crack is more than 100 miles long. Such a collapse of ice shelves is exactly what Mercer predicted would be the first sign that disaster is imminent. When it breaks, it will likely be front-page news and cited as evidence that Antarctica is rapidly falling apart.”
Technology, including FinTech and Cybersecurity
Data science (primarily R), including Alternative Data
  • [new book] Processing and Analyzing Financial Data with R https://sites.google.com/view/pafdR/home
  • Technical Foundations of Informatics https://info201-s17.github.io/book/index.html “The course guide is a self-contained book that teaches you how to work with data using R in modern and reproducable ways. It assumes no technical background, but jumps quickly into setting up the necessary infrastructure for reproducible data science: R, RStudio, Git, an editor, and a command shell.”
  • U.S. Federal Government Spending is Now a Single, Unified Data Set http://www.visualcapitalist.com/u-s-federal-governments-spending-data-single-unified-data-set/ “The data puts records of accounts, budgets, grants, and contracts all in one place, and links this information together in way that has never been done before. Everyday citizens, journalists, and data scientists will be able to see how the government spends money with one consolidated view. Further, this harmonization of accounts will also help to boost transparency, making it easier to spot inefficiencies, waste, and fraud at the federal level.”
  • [Tutorial] SQL Basics: Working with Databases https://www.dataquest.io/blog/sql-basics/
Exams, Financial Associations (GARP, FRM, CFA Institute) and Careers, including CRO Interviews
Future including disruption
  • Artificial Intelligence: The Promise and the Playbook http://a16z.com/2017/05/12/ai-playbook/ “Building on our popular primer on artificial intelligence, today we’ve launched a microsite to help newcomers — both non-technical and technical — begin exploring what’s possible with AI. The site is designed as a resource for anyone asking the two questions above [How do I get started with artificial intelligence? What can I do with AI in my own product or company?], complete with examples and sample code to help get started; no computer science degree required!”
  • Three Revolutions in Urban Transportation (vehicle electrification, automation, and widespread shared mobility) https://www.itdp.org/3rs/ Report here http://trtl.bz/2qiBFd8
  • Lemonade arrives in California (where I live) https://www.lemonade.com/blog/california-were-here/
  • Disrupting Insurance — So Easy a Caveman Can Do It? (1/3) http://trtl.bz/2qHFUk1
  • Slice is a cool insurance startup that just went live https://blog.slice.is/ “Slice provides coverage on-demand, and for only the periods of time you need it. The Slice policy automatically begins and ends with your business hours, whether it’s minutes, days or weeks. And, you only pay for the dates and times your policy is active.”
  • Programmable blockchains in context: Ethereum’s future by Vinay Gupta (medium.com) http://trtl.bz/2rgH1UK “Blockchain explainers usually focus on some very clever low-level details like mining, but that stuff really doesn’t help people (other than implementers) understand what is going on. Rather, let’s look at how the blockchains fit into the more general story about how computers impact society.”
Risk Foundations (FRM P1.T1)
Quantitative Analysis (FRM P1.T2)
Financial Markets and Products, including Interest Rates, Commodity Risk, and Foreign Exchange (FX)(FRM P1.T3)
Valuation and Risk Models, including Country risk (FRM P1.T4)
Credit risk (FRM P1.T6)
Investment risk, including Pensions (FRM P1.T8)
Current issues (FRM P2.T9)
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