Bionic Turtle’s Week in Risk (ending July 15th)

This week’s risk blog contains some very informative threads from our FRM forum, including feedback that is still being posted about the FRM exam in May. David has also found some great risk articles, including data science and banking. We hope you enjoy! Have a great week!

In the forum (selected only)

• [GARP] More study advice https://trtl.bz/2Lc5ZBj
• [GARP] Certified FRMs may not be in the directly https://trtl.bz/2LerXne
• [GARP] Part 2 feedback still coming in https://trtl.bz/2LeblMx, and Part 1 feedback too https://trtl.bz/2LdKSi8

• [P1.T2] The difference between adding a position that grows the portfolio, and increasing the granularity of a same-size portfolio https://trtl.bz/2LfyzBU
• [P1.T2] Breaking down Shakti’s elegant binomial solution https://trtl.bz/2LfdRlQ
• [P1.T2] The mean and variance of a continuous variable require basic calculus https://trtl.bz/2L9XLK6
• [P1.T2] Miller’s derivation of mean and variance of the uniform distribution https://trtl.bz/2Le8y5V

• [P1.T3] Properties of options explained https://trtl.bz/2LbwU0h
• [P1.T3] Where do N(d1) and N(d2) in Black-Scholes come from? https://trtl.bz/2LbmQEy
• [P1.T3] Contango’s effect on strip versus stack hedge https://trtl.bz/2LdKG2o

• [P1.T4] Carry roll down under realized forwards versus unchanged term structure https://trtl.bz/2LdKsZ6
• [P1.T4] Tuckman’s replicating portfolio requires some practice https://trtl.bz/2LcteeQ
• [P1.T4] More on replication https://trtl.bz/2L9XIOq
• [P1.T4] Dividends “reduce twice” in the BSM https://trtl.bz/2L8I1Hp
• [P2.T5*] How is VaR countercyclical? https://trtl.bz/2LfykXw

Banks

• Profit Gains at JPMorgan, Citigroup Reflect a World in Growth Mode https://trtl.bz/2L8Q5rF
• Where Have all the New Banks Gone? https://trtl.bz/2L9mIoV

• FSB issues statement on reforms to interest rate benchmarks http://www.fsb.org/2018/07/fsb-issues-statement-on-reforms-to-interest-rate-benchmarks/

Risk

• The Worst Cybersecurity Breaches of 2018 So Far https://www.wired.com/story/2018-worst-hacks-so-far/

• Catastrophe Modeling: The Third Wave of Disruptive Technology https://trtl.bz/2LcxIlI
• [book] Risk Assessment: Procedures and Protocols https://trtl.bz/2JpxJOd
• Loss Aversion https://johnhcochrane.blogspot.com/2018/07/loss-aversion.html
• Talking about inherent and residual risk https://normanmarks.wordpress.com/2018/07/13/talking-about-inherent-and-residual-risk/
• Are tariffs a Black Swan? https://www.rcmalternatives.com/2018/07/are-tariffs-a-black-swan/
• Chart of Century Gives Powell Gloomy Glimpse of Trade-War World https://trtl.bz/2LfG2AW

• In Order To Save The CDS Market, It May Have Been Necessary To Destroy It  https://www.greenwich.com/blog/order-save-cds-market-it-may-have-been-necessary-destroy-it
• Market liquidity: a misunderstood and misregulated risk https://trtl.bz/2L91Jmp
• The Debt Train will Crash [end of John Mauldin’s series] https://trtl.bz/2LlBEgw

Investing

• Hedge Funds Should Be Thriving Right Now. They Aren’t. https://www.nytimes.com/2018/07/12/business/hedge-funds.html
• Activist Investors Turn Up Heat in Drive for Returns https://trtl.bz/2LlCbz2
• Announcing The First Kitces Research Survey On The Real Financial Planning Process  https://www.kitces.com/blog/kitces-research-survey-real-financial-planning-process/

Tech and data

• How to sharpen your data instincts https://trtl.bz/2JqVFRn
• Python vs (and) R for Data Science https://trtl.bz/2Lo4mxD

• No, Machine Learning is not just glorified Statistics https://towardsdatascience.com/no-machine-learning-is-not-just-glorified-statistics-26d3952234e3

Other

• The fallacy of obviousness https://aeon.co/essays/are-humans-really-blind-to-the-gorilla-on-the-basketball-court “Knowing what to observe, what data to gather in the first place, is not a computational task – it’s a human one“
• A Fresh Look at Board Committees https://corpgov.law.harvard.edu/2018/07/10/a-fresh-look-at-board-committees/

• Tuck Announces New Criteria for MBA Admissions https://trtl.bz/2LlKhb1 “the new, simplified criteria comprise four attributes reflective of successful Tuck students: smart, nice, accomplished, and aware.“
• Are economics and finance “lost in math”? http://mathinvestor.org/2018/07/are-economics-and-finance-lost-in-math/