Bionic Turtle’s Week in Risk (ending February 18th)

Our Week in Risk is back! Join in on some FRM forum discussions, visit our YouTube channel, or browse through some of the interesting links that David has found! Our Week in Risk is always guaranteed to provide interesting FRM information for everyone! 🙂

Some of the new content this week

• New P1 Practice Question: P1.T4.802. Stress Testing and Other Risk Management Tools (Siddique)  https://www.bionicturtle.com/forum/threads/p1-t4-802-stress-testing-and-other-risk-management-tools-siddique.13507/
• New P2 Practice Question: P2.T9.803. Machine learning (van Liebergen)  https://www.bionicturtle.com/forum/threads/p2-t9-803-machine-learning-van-liebergen.13513/ As a practicing data scientist, I think GARP selected two good data science readings, although I think it’s impossible to really engage these topics without writing at least some code
• We updated the FRM Historical Pass Rate chart to reflect November’s results  https://www.bionicturtle.com/forum/threads/what-is-the-pass-rate-for-the-frm.10093/#post-57919

YouTube: We are building out our free YouTube channel playlists. Here are the FRM playlists (our sequence approximately follows the syllabus):

• Youtube T1 Foundations playlist http://trtl.bz/bt-yt-playlist-frm-t1-foundations
• Youtube T2 Quantitative playlist http://trtl.bz/bt-yt-playlist-frm-t2-quant
• Youtube T3 Products playlist http://trtl.bz/bt-yt-playlist-t3-products

Selected discussion in the forum this week

• [P1.T1] You do want to understand why a bank’s balance sheet is inherently fragile to drops in asset value, and the implications of maintaining constant leverage https://www.bionicturtle.com/forum/threads/p1-t1-701-amplifying-mechanism-and-recurring-themes-in-the-global-financial-crisis-brunnermeier.10076/
• [P1.T4] More good questions about hybrid (aka, age-weighted) value at risk (VaR)  https://www.bionicturtle.com/forum/threads/calculating-revised-var-hybrid-approach.9857/
• [P1.T4] I’m glad forum member, nikogeorgiev, asked this question, as you should be able to find the variance of EDF from first principles https://www.bionicturtle.com/forum/threads/variance-of-edf.13514/
• [P1.T4] Thank you forum member, lRRAngle, for helping me to further refine my explanation of GARCH(1,1)  https://www.bionicturtle.com/forum/threads/garch-1-1-model-long_run_volatility.10509/#post-57804

• [P2.T5] I finally replaced two of the old fixed income mapping questions (T5.63) and simultaneously we’ve had some new discussion; it’s not easy to grok Jorion’s three mapping approaches  https://www.bionicturtle.com/forum/threads/l2-t5-63-fixed-income-mapping-jorion.3617
• [P2.T5] Forum member, Stella.gkotsi, found a typo in Meissner’s text (that we missed), nice!  https://www.bionicturtle.com/forum/threads/errors-found-in-study-notes-p2-t5-market-risk.8758/page-3#post-57962
• [P2.T5] The simplified modified duration for par bonds and, related, yield-based duration implicitly assumes a parallel shift in the spot rate curve (even if the spot rate curve is not flat)  https://www.bionicturtle.com/forum/threads/fixed-income-mapping-jorion.13511/#post-57893
• [P2.T6] Continuous versus discrete solution to the risk-neutral default probability  https://www.bionicturtle.com/forum/threads/p2-t6-301-default-probabilities-malz.6773/#post-57950

Some external links relevant to the FRM, or just interesting

• [Market correction triggered Feb 2nd]: I continue to appreciate Matt Levine at Money Stuff, he’s written some smart commentary on the correction over at https://www.bloomberg.com/view/topics/money-stuff
• [Market correction] Also here is Matt gloriously on inverse volatility products  https://www.bloomberg.com/view/articles/2018-02-09/inverse-volatility-products-almost-worked
• [Market correction] Harvard, Hawaii Gambled on Market Calm—Then Everything Changed (wsj)  http://trtl.bz/2HryeaB
• [GARP] How have banks fared in the era of Dodd-Frank? http://trtl.bz/2sENhKM
• [governance] 2018 Proxy Season Preview https://corpgov.law.harvard.edu/2018/02/14/2018-proxy-season-review/

• [P1.T1] The new ISO 31000 keeps risk management simple https://www.iso.org/news/ref2263.html
• [P1.T1] 10th Edition of Global Fraud & Risk Report by Kroll https://www.kroll.com/en-us/global-fraud-and-risk-report-2018 Copy here at http://trtl.bz/kroll-10th-ed

• [P1.T1] Worldwide Threats Briefing: 5 takeaways from Russia to China https://www.wired.com/story/worldwide-threats-briefing-russia-election-china/
• [P1.T3] Primer on make-whole calls (BofA ML) http://trtl.bz/0218-make-whole Make-whole call provisions are discussed in FRM assigned (T3.R23) Fabozzi on Corporate Bonds
• [P1.T4] Primer on duration and convexity (BofA ML) http://trtl.bz/0218-primer-duration-convexity Nothing here new (or deeply technical) to FRM syllabus but a fine summary
• [P2.T7] Basel III: Are we done now? (keynote speech) https://www.bis.org/speeches/sp180129.htm
• [P2.T9] Overseeing cyber risk https://corpgov.law.harvard.edu/2018/02/18/overseeing-cyber-risk/

• [P1.T8] Book Review: The End of Theory https://blogs.cfainstitute.org/investor/2018/02/15/book-review-the-end-of-theory/
• [P1.T8] Data Science Will Transform the Investment Industry: Are You Prepared? (CFA Institute)  http://trtl.bz/2szX8kW

• [P2.T9] How Blockchain could disrupt banking https://www.cbinsights.com/research/blockchain-disrupting-banking
• [P2.T9] Artificial Intelligence, Machine Learning, and Deep Learning: A Primer http://trtl.bz/2ECowQM
• [P1.T9] Excellent summary of cryptocurrencies http://trtl.bz/0218-decrypting-cryptocurrencies

• [P1.T9] Crypto Canon by a16z https://a16z.com/2018/02/10/crypto-readings-resources/
• [data science] Six reasons to learn R for business http://www.business-science.io/business/2017/12/27/six-reasons-to-use-R-for-business.html As some members know, I’ve been training data science for over three years (using R). I have about 30 course certifications, mostly at datacamp (highly recommended!) and coursera. Two weeks ago, I attended the rstudio conference, where I participated in a two-day workshop conducted by the talented Charlotte Wickham (topic: data science in the tidyverse). I’ve already registered for next year’s conference in Austin, TX!