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WIFE Week in risk (ending Oct 30th)

David Harper CFA FRM

David Harper CFA FRM
Staff member
In the forum this week (selected subset only)
Regulatory (including BIS)
Banks and Finance
  • Bundesbank Says High-Frequency Trading Can Enhance Volatility http://www.bloomberg.com/news/artic...high-frequency-trading-can-enhance-volatility “The Bundesbank divided high-frequency firms into two broad types: those that trade actively on news, and those that act as market-makers, or intermediaries between buyers and sellers of assets. It found that the first type of traders were particularly active during periods of high market volatility, and therefore contributed to that volatility. The second group, by contrast, tended to withdraw from financial markets during periods of high market stress—just when they might be needed most to provide additional liquidity.”
  • BNP’s Capital Relief Should Be Contagious (Rule change gives more breathing room before coupons and dividends are threatened) http://www.wsj.com/articles/bnps-capital-relief-should-be-contagious-1477666901 “The reason for the change: European regulators have altered how they structure capital requirements known as the Supervisory Review and Evaluation Procedure, or SREP, to make them more like U.K. requirements. This involves splitting one element of the requirement—a supervisory add-on known as pillar 2—into one public part that banks must always meet, and one nonpublic part that regulators use as an extra guard against things they don’t like about an individual bank or how it is run. Privately, regulators still have a higher number for BNP than its 8% SREP level.”
Case Studies (Crisis)
Technology (incl FinTech and cyber)
Climate and Energy
Exams (GARP, FRM, CFA), School and Career
Books and Courses (Learning)
Data science (including #rstats)
Quantitative Analysis (FRM P1.T2)
Financial Markets and Products (FRM P1.T3), including low interest rates
Valuation and Risk Models (including Country Risk and Political) (FRM P1.T4)
  • Austria 70-Year Bond Hands Out Duration Lesson in First Week http://www.bloomberg.com/news/artic...-bond-dishes-out-duration-lesson-on-first-day “Its relatively low coupon and long maturity help produce a high duration factor, meaning it’s price is more volatile … The duration on Bank of America’s Global Government Bond Index climbed to an all-time high of about 8.5 in July, from about 5 when the benchmark began in 1997. Austria’s 70-year bonds have a duration of 43, according to data compiled by Bloomberg.”
Operational risk (FRM P2.T7)
  • Basel III – Capital Adequacy – US Implementation – Credit Risk Weights for Internal Ratings Based and Advanced Measurement Approaches http://trtl.bz/2f5x3QE
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David Harper CFA FRM

David Harper CFA FRM
Staff member
I wanted to also share a preview of one of the sheets in the updated (Elton's) capital asset pricing model (CAPM) learning spreadsheet. Based on this derivation, I replaced the Market Portfolio (ie, the point on the PPC with the highest Sharpe ratio) with an analytical in-cell solution; previously the sheet required the manual use of Goal Seek, but no longer. These will be part of the 2017 FRM materials that we are currently preparing. Thanks!