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WIFE Week in Risk (February 10th)

David Harper CFA FRM

David Harper CFA FRM
Staff member
New Practice Questions
  • P1.T4.904. Flattening and steepening of rate curves (Tuckman Ch.2) https://trtl.bz/2TkXpRU
  • P2.T9.904. Artificial intelligence and machine learning (AI & ML) in financial services (FSB FIN, part 1 of 2) https://trtl.bz/2MIS9Vn
  • P1.T4.905. Gross versus net bond returns, bond spread and bond yield (Tuckman Ch. 3) https://trtl.bz/2Bl7N58
  • P2.T9.905. Machine learning in financial services: use cases and possible effects (FSB FIN, part 2 of 2) https://trtl.bz/2SaU4Z3
New YouTube
In the Forum
  • [GARP FRM] Questions about work experience questions https://trtl.bz/2GnUrZd
  • [P1.T1*] Can we elaborate on the difference between an economic and accounting hedge? https://trtl.bz/2SFmvh6
  • [P1.T3] Further clarification on the tedious valuation (and the most confusing step) of a theoretical futures price for a Treasury bond futures contract https://trtl.bz/2Sx9kyy
  • [P1.T3] Thank you @abhinavkhanna for a more correct version of the derivation of lump-sum income (given continuous form) https://trtl.bz/2Gnurx1
  • [P1.T3*] Bond convexity dynamics https://trtl.bz/2DDo32O
  • [P1.T3] Inferring the long-term zero rate from Eurodollar futures quotes https://trtl.bz/2Gqghej
  • [P1.T3] Understanding the mathematical difference between forward rate agreement (FRA) valuation and cash flow simulation https://trtl.bz/2SvXRiM
  • [P1.T3] How does the dividend affect an option's intrinsic value and/or time value? https://trtl.bz/2MXqSig
  • [P1.T4] How can we calculate the worst case scenario (WCS) for a parametric/empirical distribution? https://trtl.bz/2GtBapl
  • [P1.T4] Why doesn't Tuckman's P&L volatility of hedge position include the yield shocks and beta? https://trtl.bz/2GkVVmW
  • [P1.T4*] Derivation of duration as first derivative https://trtl.bz/2MXaqyt
  • [P2.T5*] Can we better understand the relationship between the implied volatility smile and option maturity? https://trtl.bz/2B6vZYy
  • [P2.T5] What is the decision rule for rejection in the VaR backest? https://trtl.bz/2B5qmKy
  • [P2.T5] Basel VaR test is really just a hypothesis test of the sample mean of a binomial distribution https://trtl.bz/2GonkEn
  • [P2.T5] Another on the VaR backtest: why can't we easily calculate the probability of a Type II error? https://trtl.bz/2SFms4U
  • [P2.T5] Thank you @gprisby for noticing: leptokurtosis is a heavy-tail, not necessarily a higher peak. This is not only mathematically proper but consistent with our focus, in risk, on extreme events https://trtl.bz/2Glw6mI
  • [P2.T5] Thank you @pengfrm from explaining how portfolio Macaulay duration was calculated in T5.63 (which is the same way Jorion calculates the portfolio duration of 2.733 years in his Chapter 11 fixed income VaR mapping example) https://trtl.bz/2MWpMmO
  • [P2.T5] VaR is not coherent under any approach (despite coherence under restrictive normality assumption) but expected shortfall (ES) is always coherent. An advantage of historical simulation (HS VaR) is that it makes no distributional assumption but it therefore cannot assume normality! https://trtl.bz/2SDz4ts
  • [P2.T5] A good practice question by GARP on the interest rate term structure with a risk premium https://trtl.bz/2Bs2lgI
  • [P2.T6] How is the value of a credit default swap (CDS) different than a credit valuation adjustment (CVA)? https://trtl.bz/2SqgaGk
  • [P2.T6] Mapping De Laurentis definitions to standard FRM definitions https://trtl.bz/2SvZdKo
  • [P2.T6] Spreadsheet solution that applies Altman's Z-score https://trtl.bz/2MVOeoC
  • [P2.T6] What is the difference between an ABS, CDO, and CDO^2? https://trtl.bz/2GmgMWZ
  • [P2.T6*] How can we understand the cumulative accuracy profile (CAP)? https://www.bionicturtle.com/forum/threads/credit-scoring.22144/

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