Bionic Turtle’s Week in Risk (ending July 1st)

Welcome to our first Week in Risk for July! We hope everyone was happy with their results on the FRM exam in May! Time to gear up for the November exam now! Bionic Turtle is the place to be for all of your FRM study materials 😉

New Practice Questions

• P1.T4.810. Spectral risk measures, especially Expected Shortfall (ES) (Dowd Ch.2)  https://trtl.bz/2yI9RFq

• P2.T7.803. Standardized Measurement Approach (SMA) to Operational Risk https://trtl.bz/2MrpDGw

New YouTube videos

• Forecast volatility with GARCH(1,1) (FRM T2-24) https://trtl.bz/2K6mKhL

• Theory of normal backwardation (FRM T3-17) https://trtl.bz/2yXs0za

In the forum: FRM exam results arrived

• Part 1 FRM results shared https://trtl.bz/2KDbh5A

• Part 2 FRM results shared https://trtl.bz/2IJePBD

• Is the FRM equivalent to a Bachelors or Masters? https://trtl.bz/2KzZeG2
• Part 2 difficulty compared to Part 1 https://trtl.bz/2KCrNmk
• No, there are no sectional cutoffs which can lead to counter-intuitive outcomes https://trtl.bz/2KD7OE9
• Many study group requests: Part 1 https://trtl.bz/2KEfPbZ or Part 2 https://trtl.bz/2KEJZeU
• Member, kevolution, shares a personal study work plan for Part 2 https://trtl.bz/2KD6LY2

In the forum: other

• [GARP] PPT from the webinar https://trtl.bz/2KmPSBv

• [P1.T1] Common question: which is the correct information ratio? https://trtl.bz/2KojsXt
• [P1.T1] How does lowering its cost of capital benefit a firm? https://trtl.bz/2KzG3PY
• [P1.T2] Does EWMA make a volatility forecast? https://trtl.bz/2KeRysO

• [P1.T4] Which exotic options are long volatility? https://trtl.bz/2KkrY92
• [P1.T4] In a compound option, the first strike price is effectively an optional, deferred premium  https://trtl.bz/2Kk6RDI
• [P2.T5] Term structure of volatility derivation in Tuckman https://trtl.bz/2Klrxfg

Banking and Regulation

• Wells Fargo Sailed Through Its Stress Test. Goldman Sachs and Morgan Stanley, Not So Much.  https://www.nytimes.com/2018/06/29/business/dealbook/fed-stress-tests.html
• Fed Test Slaps Wall Street Titans, Unleashes Record Payout https://trtl.bz/2KxqOaj

• Banks Failing Stress Tests? (Not for Much Longer The Fed is expected to eliminate pass/fail grades as soon as 2019) https://www.wsj.com/articles/banks-failing-stress-tests-not-for-much-longer-1530005400
• Bank Liquidity Provision and Basel Liquidity Regulations  https://www.newyorkfed.org/research/staff_reports/sr852
• Why Goldman Sachs Is Lending to the Middle Class https://trtl.bz/2KGm4Ps
• [BIS] Net Stable Funding Ratio (NSFR) – Executive Summary https://www.bis.org/fsi/fsisummaries/nsfr.htm

Risk

• Risk? It’s probably that thing you’re ignoring (Gillian Tett, ft.com) https://trtl.bz/2IJc5E5
• What Would Happen if China Started Selling Off Its Treasury Portfolio? (CFR) https://trtl.bz/2K77Urk

• How to get away with financial fraud https://www.theguardian.com/news/2018/jun/28/how-to-get-away-with-financial-fraud from Lying for Money: How Legendary Frauds Reveal the Workings of Our World  https://amzn.to/2NbM43T
• High Yield Bonds: A Fresh Look at BB Rated Credit https://blog.pimco.com/en/2018/06/high-yield-bonds-a-fresh-look-at-bb-rated-credit

Finance/Investing

• U.S. Stocks Fall as Trade-War Fears Rattle Markets https://trtl.bz/2KneQjg
• Upstarts Crash Wall Street’s $7 Billion Capital-Markets Party https://trtl.bz/2KliBFP

• What’s the Yield Curve? (‘A Powerful Signal of Recessions’ Has Wall Street’s Attention) https://trtl.bz/2KjPcsA
• What Risks Are Worth Taking https://retirementresearcher.com/what-risks-are-worth-taking/
• My Evolution on Asset Allocation (Ben Carlson) http://awealthofcommonsense.com/2018/06/my-evolution-on-asset-allocation-2/

Personal Finance

• Australians Can’t Get Enough of the Barefoot Investor https://trtl.bz/2IIwV6G
• FICO Score 9: What You Need to Know https://www.nerdwallet.com/blog/finance/fico-score-9/

• No Savings? No Problem. These Companies Are Helping Home Buyers With Down Payments  https://trtl.bz/2KAenuk
• 11 Jedi Mind Tricks To Change The Way You Think About Money https://trtl.bz/2KA3CYW

Technology

• The Biggest Digital Heist in History Isn’t Over Yet https://trtl.bz/2IqS84Q

• Introducing a16z crypto https://a16zcrypto.com/2018/06/introducing-a16z-crypto/ “many other software components [in addition to digital money] can be constructed using the building blocks of trust. Smart contract platforms like Ethereum enable the creation of, among other things, application-specific currencies, digital property rights, open financial instruments, and software-based organizations.“
• Everything You Need To Know About What Amazon Is Doing In Financial Services  https://www.cbinsights.com/research/report/amazon-across-financial-services-fintech/

• Ways to think about machine learning https://www.ben-evans.com/benedictevans/2018/06/22/ways-to-think-about-machine-learning-8nefy
• Intelligent Risk (PRMIA). The theme is risk technology https://trtl.bz/2z1pnMN

Other

• General Electric’s Long Unwinding https://www.wsj.com/articles/general-electrics-long-unwinding-1529862757
• The Directors’ E&S Guidebook https://corpgov.law.harvard.edu/2018/07/01/the-directors-es-guidebook/
• Bias detectives: the researchers striving to make algorithms fair https://trtl.bz/2KqUCWT

• Analysis: Data Shows Rising Seas Threaten over 300,000 Homes https://trtl.bz/2IKQxH9
• The Dunning-Kruger Effect: we are all confident idiots https://kottke.org/18/06/the-dunning-kruger-effect-we-are-all-confident-idiots

• Time Split to the Nanosecond Is Precisely What Wall Street Wants  https://www.nytimes.com/2018/06/29/technology/computer-networks-speed-nasdaq.html
• Is the World Really as Dangerous as We Think? https://news.gallup.com/opinion/gallup/235946/world-really-dangerous-think.aspx
• We suck, sometimes (The highs and lows of Lemonade’s first half of 2018)  https://www.lemonade.com/blog/lemonade-transparency-review/

• Proof Negative https://rpseawright.wordpress.com/2018/06/23/proof-negative-2/
• How to Improve Fluid Intelligence in The Age of Crystallised Knowledge https://trtl.bz/2KAOn22