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Week in Risk Week in risk (March 3rd)

David Harper CFA FRM

David Harper CFA FRM
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In the Forum
  • [P1.T1] How does value at risk (VaR) change if the assumption is changed from zero expected return to non-zero? https://trtl.bz/2TkfItu and basic VaR issues that every candidate needs to know https://trtl.bz/2IGWeLs
  • [P1.T1] Percentage point versus percent, and why a good question does not make you memorize the difference https://trtl.bz/2To8S6a
  • [P1.T1] Formula for minimum variance portfolio https://trtl.bz/2To7DE6
  • [P1.T2] Be sure to understand the definition of the p-value https://trtl.bz/2TyxbyI
  • [P1.T3] The bear spread with puts requires an initial payment, but the bear spread with calls receives a cash inflow (so what is the advantage of using puts?) https://trtl.bz/2IMBNgl
  • [P1.T3] Hull's question 2.29 on margin call/withdrawal https://trtl.bz/2TicLtC
  • [P1.T4] Understanding expected shortfall (ES) given a discrete distribution https://trtl.bz/2IHYVfL
  • [P1.T4] Bootstrapping discount factors from the swap rate curve https://trtl.bz/2IKauU1
  • [P2.T5] Dowd's derivation of the standard error of the quantile estimator https://trtl.bz/2IPSJlZ
  • [P2.T6] Jon Gregory himself registered to comment in our forum (with respect to a question about the CDS-bond basis). Great to see you Jon! https://trtl.bz/2IRgBpm
  • [P2.T6] Are there better references (than De Laurentis) for understanding Altman's Z as a type of linear discriminant? https://trtl.bz/2TbTFoU
  • [P2.T6] The collateral and the haircut in a repo transaction cover different risks https://trtl.bz/2TkfORS
  • [P2.T6] Understanding the relationship between standalone, incremental and marginal credit valuation adjustment (CVA) https://trtl.bz/2IDiBl6
  • [P2.T6] Understanding the unusual shape of the exposure profile of a credit default swap (CDS)
  • [P2.T6] Stulz's credit risk reading has a contradiction between theoretical model and empirical observation with respect to interest rate impacts https://trtl.bz/2TqTia0
  • [P2.T6] CVA subtracts from the risk-free value https://trtl.bz/2Tjb0fF
  • [P2.T7] How to tabulate (aka, convolute)per loss distribution approach (LDA) given severity and frequency distributions https://trtl.bz/2II0XfT
  • [P2.T7] What is the IEA factor in calculation of Operational Risk ILDC component? https://trtl.bz/2ISCy7M

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