New Practice Questions
- P1.T4.809. Coherent risk measures (Dowd Ch.2) https://trtl.bz/2K4hp6I
- P2.T7.802. Risk appetite framework (RAF) https://trtl.bz/2IaWVXY
- Volatility: GARCH 1,1 (FRM T2-23) https://trtl.bz/2JQufJy
- Cost of Carry: convenience yield (FRM T3-16) https://trtl.bz/2thaUHb
- [P1.T1] diversification, efficiency, CML and SML https://trtl.bz/2HWgl2w
- [P1.T2] Does EWMA forecast volatility (e.g., like GARCH does)? https://trtl.bz/2KeRysO
- [P1.T3] Options on futures contracts https://forum.bionicturtle.com/threads/options-on-futures-contracts.13966/
- [P1.T3] The logic of pricing an (exotic) shout option https://trtl.bz/2Ih2hB0
- [P1.T3] If the question says "government bond," the assume semi-annual coupons and compound frequency (i.e., unless other specified always assume the compound frequency naturally matches the coupon frequency) https://trtl.bz/2K1mOPW An EXCEPTION to the latter is Hull's tendency to discount continuously for semi-annual coupon bonds, but this is "un-natural" and definitely needs to be requested in the question!
- [P1.T4] Absolute versus relative value at risk (VaR) https://forum.bionicturtle.com/threads/hull-13-08.3822/
- Federal Reserve Board releases results of supervisory bank stress tests https://www.federalreserve.gov/newsevents/pressreleases/bcreg20180621a.htm
- What Stress? It's Good to Be a Bank https://www.nytimes.com/2018/06/22/business/dealbook/banks-stress-test.html "The six largest American banks — JPMorgan, Bank of America, Citigroup, Wells Fargo, Goldman Sachs and Morgan Stanley — have done particularly well. They made $141 billion in pretax profits in 2017, nearly double the $75 billion they made in 2010."
- Goldman Sachs, Morgan Stanley Stress Over Capital Returns (WSJ) https://trtl.bz/2KdtIO3 Goldman, Morgan Stanley Say Test Scores May Not Curb Payouts (Bloomberg) https://trtl.bz/2Kc1anQ
- [BIS] Basel Committee issues progress report on banks' implementation of the Principles for effective risk data aggregation and reporting https://www.bis.org/press/p180621.htm
- [BIS] Annual Economic Report 2018 https://www.bis.org/publ/arpdf/ar2018e.htm
- Geopolitics, Trade and the Bull Market’s Age are Top Investor Worries [2018 Mid-Year Outlook, Part 1, SPDRS] https://trtl.bz/2IkdFMv
- The Treasury Yield Curve Blues http://macromarketmusings.blogspot.com/2018/06/the-treasury-yield-curve-blues.html "Given the global integration of capital markets, it is not hard to imagine the overseas inversions working their way into the U.S. treasury yield curve."
- It Ain't What You Don't Know That Gets You Into Trouble https://www.aqr.com/Insights/Perspectives/It-Aint-What-You-Dont-Know-That-Gets-You-Into-Trouble "The size effect paper is the easier one to discuss in a short blog. There isn’t one."
- New RIMS Report Delivers a Wakeup Call To Risk Managers http://www.riskmanagementmonitor.com/new-rims-report-delivers-a-wakeup-call-to-risk-managers/ Complementary Q&A with James Reese of the SEC https://trtl.bz/2KhaNSA
- Theranos Lessons http://www.collaborativefund.com/blog/theranos-lessons/
- Understanding the New ISO and COSO Updates http://www.rmmagazine.com/2018/06/01/understanding-the-new-iso-and-coso-updates/
- AIG: The long struggle to repair its reputation (ft.com, pdf) https://trtl.bz/2yAb1CR
- What competencies should risk managers outside of banks and insurance companies really have? https://trtl.bz/2KeJ9Wi
- Insuring ride risk in the amusement industry http://xlcatlin.com/fast-fast-forward/articles/insuring-ride-risk-in-the-amusement-industry
- Measuring And Managing Environmental Exposure: A Business Sector Analysis of Natural Capital Risk (Allianz) https://www.agcs.allianz.com/about-us/news/natural-capital-risks-press/
- Ten Reasons Finance Will Keep Changing (Barry Ritholtz) https://trtl.bz/2K9bm0u
- The Zero (Coupon) Hedge http://awealthofcommonsense.com/2018/06/the-zero-coupon-hedge/ "I’ve been beating this drum for some time now, but investors in fixed income — no matter how they invest in that asset class — need to prepare for more volatility in the years ahead than they’ve been used to."
- Latest memo from Howard Marks: Investing Without People https://www.oaktreecapital.com/insights/howard-marks-memos "This memo covers three ways in which securities markets seem to be moving toward reducing the role of people: (a) index investing and other forms of passive investing, (b) quantitative and algorithmic investing, and (c) artificial intelligence and machine learning."
- These Bank Customers Are Making a Bundle on Their Deposits (Instead of toasters for opening accounts, banks are handing out cash, WSJ) https://trtl.bz/2IgGcm1
- A Generation of Americans Is Entering Old Age the Least Prepared in Decades (WSJ) https://trtl.bz/2KdvcI7
- Your Risk Tolerance Is An Illusion: Wait Until You Start Losing Big Money https://www.financialsamurai.com/risk-tolerance-is-difficult-to-measure/
- BlackRock Is Offering a Free Perk That Lets It See Inside Your Portfolio (Free risk-assessment tool for financial advisers is part of an effort to sell more funds to individual investors, WSJ) https://trtl.bz/2Kh8UFu
- Model Tuning and the Bias-Variance Tradeoff [Part 2 of a Visual Introduction to Machine Learning] http://www.r2d3.us/visual-intro-to-machine-learning-part-2/
- What’s the Deal With Systemic Cyber Risk? http://www.air-worldwide.com/Blog/What’s-the-Deal-With-Systemic-Cyber-Risk-/
- The Arms Race for Quants Comes to the World’s Biggest Asset Managers (Many traditional stock- and bond-picking firms are paying up to hire mathematical and computer experts, WSJ) https://trtl.bz/2Ii460o
- [Governance] “Bad or Good Board of Directors – You Won’t Believe What Happened Next!” https://25iq.com/2018/06/16/bad-or-good-board-of-directors-you-wont-believe-what-happened-next/
- Tails, You Win http://www.collaborativefund.com/blog/tails-you-win/ "Who’s working at these companies? Google’s hiring acceptance rate is 0.2%. Facebook’s is 0.13%. Apple’s is about 2%. So the people working on these tail projects that drive tail returns have tail careers."
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