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Week in Risk Week in Risk (January 13th)

David Harper CFA FRM

David Harper CFA FRM
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New YouTube
New Practice Questions
  • P1.T4.901. Exploiting arbitrage opportunities with a replicating bond portfolio (also: clean versus dirty, and day-count conventions) (Tuckman Ch.1) https://trtl.bz/2CU2jzf
  • P2.T9.901. Cyber Risk, Market Failures, and Financial Stability (Part 2 of 2) https://trtl.bz/2QwuDLO
In the Forum
  • [GARP] We have the pass rates for the November 2018 exam! David has updated our historical pass rate graph to reflect the updates. https://trtl.bz/2RrWr9j
  • [P1.T1] Which is unexpected loss (UL), relative or absolute MVaR? https://trtl.bz/2FuNXak
  • [P1.T3] What is the role of Jensen's inequality in volatility/variance swaps? https://trtl.bz/2Fmw9Ot
  • [P1.T3*] Balance sheet of P&C versus life insurance company https://trtl.bz/2FuPWeM
  • [P1.T3*] How does a longevity bond work? https://trtl.bz/2FoQELq
  • [P1.T4] Option on futures contract (aka, futures options) are generally American; they can be exercised any time during the life of the contract https://trtl.bz/2Fk3DxT
  • [P2.T5] Dowd's Interpretation of QQ plot https://trtl.bz/2Fvf2Km
  • [P2.T5] In the duration approach to fixed-income VaR mapping, do we assume the sole risk factor is Macaulay or modified duration? https://trtl.bz/2Fva7ZW
  • [P2.T5] The VaR backtest presumes that the failure rate is an efficient and consistent estimator https://trtl.bz/2FvsPAI
  • [P2.T7] Dowd's constant spread approach is a special case of his exogenous approach to liquidity-adjusted value at risk (LVaR) https://trtl.bz/2FvA6Ar
  • [P2.T7] A subtle difference between VaR and stressed VaR in the Basel III internal models approach to market risk https://trtl.bz/2FvjybS
External

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