Bionic Turtle’s Week in Risk (ending May 6th)

Welcome to our Week in Risk! Our forum is very busy with many FRM discussions, as our members are gearing up for the exam in a couple of weeks! We’ve also featured our newest YouTube videos, and general risk articles from around the globe!

New YouTube

  • The F ratio is a test of overall significance in a multivariate regression (FRM T2-20)

In the forum this week (selected only)


  • [P1.T2] Is there an unconditional (long run) correlation in the GARCH covariance update?
  • [P1.T3] Why does the short seller pay the dividend, doesn’t the company pay the dividend?
  • [P1.T3] We do have a spreadsheet workbook for Hull’s trading strategies (spreads and combinations)



  • [P2.T5] Investopedia is sort of incorrect to plot implied volatility against stock price
  • [P2.T5] Which term structure models do not allow the rate to go negative (no peeking!)
  • [P2.T5] What is the implication of serial independence on the VaR backtest?
  • [P2.T5] Implication of implied volatility smile on Black-Scholes-Merton (BSM) over- and underpricing
  • [P2.T5] The VaR backtest cutoff range is not symmetrical (even as the approximation is)
  • [P2.T5] Thank you emilioalzamora1 for an answer to “How to scale absolute VaR?”
  • [P2.T6] Thank you again emilioalzamora1 for answering “What is CDS versus TRS versus CLN?”

CDS versus TRS versus CLN


Regulatory and banking


Technology, including FinTech and Cybersecurity


Exams, Financial Associations (GARP, FRM, CFA Institute) and Careers, including CRO Interviews

  • [GARP] AI Risks, Solutions, and the Future of the Risk Profession (Risk managers will not necessarily have to be data scientists but will have to upskill)
  • [GARP] SEC Advances Search for a Chief Risk Officer (Chairman Clayton says there will be additional hiring and emphasizes cybersecurity) is the best way for risk leaders to ensure that their own jobs continue to add value as AI advances. No one expects, at least in the near term, practical AI to eliminate the kind of judgment calls that only an experienced professional can make. But as AI automates analytical grunt work, risk leaders will need to know how to guide the models and interpret their results.
  • Large New York Money Manager AllianceBernstein Is Moving to Nashville
  • What I’ve Learned Working In Finance For Six Years (Hint: It Applies To Everyone)
  • Legendary Investment Banker Richard Jenrette Left These 24 Rules for Success


  • Architect of Greatest Trade Ever Hit by Losses, Redemptions Postcrisis [John Paulson]


Risk Foundations (FRM P1.T1)


Financial Markets and Products, including Interest Rates, Commodity Risk, and Foreign Exchange (FX)(FRM P1.T3)

VIX tantrum

Operational risk, including Legal risk (FRM P2.T7)

modeling fundamentals

Current issues (FRM P2.T9)


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