What's new

WIFE Week in Risk (ending May 21st)

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Welcome back after the exams! If you sat for the FRM, congratulations on following through on one of the toughest exams in finance. If you don't feel like you passed, please let me remind you: that is a common feeling, given the exam's difficulty. @Nicole Seaman started two threads for feedback on Saturday's FRM exams
In the forum last week (just a curated subset, it was busy)
Political and regulatory risk, including Systemic Risk (including BIS)
International
  • China Pumps $24.7 Billion Into Financial System http://trtl.bz/2rGo5yP
  • How Big Are Mutual Funds’ Puerto Rico Losses? $5.4 Billion https://www.wsj.com/articles/how-big-are-mutual-funds-puerto-rico-losses-5-4-billion-1494763205 “A diverse group of creditors will be competing for a limited pot of money, and allocating Puerto Rico’s resources will be complex because of the competing interests at stake … When Puerto Rico last tapped the bond market in March 2014, offering 8% interest, underwriters were flooded with orders from hedge funds and mutual funds for the junk-rated debt.”
Natural Science, including Climate and Energy
Technology, including FinTech and Cybersecurity
Data science (primarily R), including Alternative Data
Exams, Financial Associations (GARP, FRM, CFA Institute) and Careers, including CRO Interviews
Books and Courses (including Journal/SSRN)
  • Options, Futures, and Other Derivatives (Hull's 10th Edition has been released. I admit, I'm always excited to read the changes. As usual, it's an expensive book :rolleyes:) http://amzn.to/2rGcLCK New to This Edition: Chapter 7 has been rewritten to improve presentation and reflect changing market practices in relation to swaps; Chapter 9 has been added to cover valuation adjustments, such as CVA, DVA, FVA, MVA, and KVA; Chapter 31 provides details about equilibrium models of the term structure, which are widely used in long-term scenario analysis; Negative interest rates are now covered throughout the book to reflect a number of European and Asian markets; More detailed explanations give a fuller picture of the calculation of Greek letters and smile dynamics; Discussion of the expected shortfall measure and stressed risk measures has been expanded to reflect their increasing use in regulation and risk management; Increased coverage of the SABR model gives students a more firm grasp on stochastic volatility; Materials on CCPs and OTC derivative regulation includes the most current information; Examples have been revisited to reflect current market conditions; Improved material on martingales and measures, tailing the hedge, bootstrap methods, and convertible bonds helps students better understand important concepts; End-of-chapter problems have been expanded and revised.
Personal finance
Other
Enterprise risk management (ERM) including Governance
  • FM Global Resilience Index http://www.fmglobal.com/research-and-resources/tools-and-resources/resilienceindex Press release http://trtl.bz/2rGvJJJ Three new resilience drivers: “Inherent cyber risk (reflects a country’s vulnerability to a cyber attack and its ability to recover), Urbanization rate (serves as a proxy for stress (on water supplies, power grids and other infrastructure) that would be exacerbated by natural disasters such as windstorms, flood and earthquakes), Supply chain visibility (reflects the ability to track and trace consignments across a country’s supply chain).”
Financial reporting, including Accounting and Audit
  • [GARP] Alice in IFRS-land: Frontloading and Negative Amortization in IFRS 16 [ie, capitalization of leased assets] http://trtl.bz/2ra2n9F
Quantitative Analysis (FRM P1.T2)
Financial Markets and Products, including Interest Rates, Commodity Risk, and Foreign Exchange (FX)(FRM P1.T3)
  • Insurance: Robots learn the business of covering risk (ft.com big read) http://trtl.bz/2rG1TF0 This is a good Big Read by FT.com on how artificial intelligence is disrupting insurance (e.g., selfies are more accurate than traditional methods a predicting life expectancy?!) in four key areas: life insurance, agricultural insurance, motor insurance, and overall industry.
  • The Impact of Insurance on Claiming http://www.rms.com/blog/2017/05/16/the-impact-of-insurance-on-claiming/ “If insurance is in place, the loss will be higher than if there is no insurer. We see this effect in many areas of insurance, but now the “insurer effect” factor is becoming an increasing contributor to disaster losses.”
  • A $1 Trillion Pain Trade in Treasuries Divides Top Bond Dealers http://trtl.bz/2r6vevs “[The Federal Reserve] alone financed roughly 40 percent of America’s budget deficit last year … in the next three years, over a trillion dollars worth of the Fed’s $2.5 trillion stockpile of Treasuries -- amassed over three rounds of quantitative easing -- will come due. The central bank also owns $1.77 trillion of mortgage-backed securities as a result of its QE program.” … [related] The consequences of shrinking the Fed’s balance sheet (Gavyn Davies at ft.com) http://trtl.bz/2r6DQ5b
  • The New Bond Workouts http://blogs.harvard.edu/bankruptcyroundtable/2017/05/16/the-new-bond-workouts/
  • What to Watch For in Analyzing Reinsurance Contracts http://analyzere.com/watch-analyzing-reinsurance-contracts/
  • [ECB working paper] The importance of being special: repo markets during the crisis Paper here http://trtl.bz/2r9UdOn
Valuation and Risk Models, including Country risk (FRM P1.T4)
Investment risk, including Pensions (FRM P1.T8)
Current issues (FRM P2.T9)
 
Last edited:

David Harper CFA FRM

David Harper CFA FRM
Staff member
Subscriber
Hi @joaopedro.cruz Oh thank you, I really appreciate that you found (find) them useful! :) Nicole is making me update the videos so I have been buried in videos #teasing! I want to resume WIR ASAP, it's just that we've been working hard on certain content updates (videos, interactive quizzes, study notes). Hopefully soon! Thanks ... cc @Nicole Seaman
 
Top