Blog Week in Risk (December 2nd)

David Harper CFA FRM · Dec 2, 2018

New YouTube

In the Forum

More post-exam feedback: Part 1 (8 pages so far) https://trtl.bz/2FQbkgi and Part 2 (15 pages so far!) https://trtl.bz/2G7aAnp
[general] Is there such thing as an OPTIMAL FRM reading list? https://trtl.bz/2FUBZsz
[P1] @Swathi has started a study group for Part 1 https://forum.bionicturtle.com/threads/frm-part1-may-2019.22023/
[P2] @ag0511 makes a good point that you can start with Current Issues in Part 2 (but keep in mind: they will not repeat from 2018, so you need to wait for the new syllabus, which could be any day now! https://trtl.bz/2FSdufC
[P1.T2] Three arguments in favor of understanding basic calculus to sit for the FRM https://trtl.bz/2FTukdL
[P1.T3] Altering portfolio beta by shorting ETF shares (instead of futures contracts) https://trtl.bz/2FSo8Ti
[P2.T5] How can we understand Tuckman's Chapter 6 case study in which a trader executes a spread trade by selling a US Treasury bond and buying a TIPS (Treasury inflation protected security)? https://trtl.bz/2FWr1md
[P2.T5] Thank you @Stuart D Moncrieff This might be the best tip I've ever heard for memorizing the difference between a Type and Type II error https://trtl.bz/2FUSjtg

External

Banking and lending

5 Things You Should Know About LIBOR, ARRC, and SOFR (NY Fed) https://trtl.bz/2FNq6Vb "This pending deadline [i.e., banks haven’t agreed to provide LIBOR submissions after 2021, and the FCA has said they won’t attempt to compel submissions after that] is highly concerning. After all, as of 2016, gross exposure to USD LIBOR was close to $200 trillion, roughly equivalent to 10 times the U.S. Gross Domestic Product."
Stress-testing banks - a comparative analysis https://www.bis.org/fsi/publ/insights12.htm
Part 1 of Bloomberg's series on the cash-advanced industry https://trtl.bz/2FTVSQh
The $200 Trillion Gold Rush That Has Reshaped Private Banking (From Hong Kong to Miami, private bankers are finding new ways to serve the growing ranks of the world's wealthy) https://trtl.bz/2r7jg2M
A New Kind of Lender Secretly Tracks Your Car to Make Sure You Pay Up https://trtl.bz/2FNDtol
Non-bank firms are now big players in America’s mortgage market https://trtl.bz/2G47vEC
Ragin Contagion in Non-Bank Finance (Christopher Whalen) https://trtl.bz/2r8wxIm

Quantitative

Probability and Statistics for Data Science Part-1 https://trtl.bz/2FJMPRR No new concepts here, yet this is a skillfully efficient introduction
Why We Need to Audit Algorithms https://hbr.org/2018/11/why-we-need-to-audit-algorithms
Math in Data Science https://www.dataquest.io/blog/math-in-data-science/
Welcome to the stochastic age https://techcrunch.com/2018/12/02/welcome-to-the-stochastic-age/

Climate

The Three Most Chilling Conclusions From the Climate Report https://trtl.bz/2ra2y2G
Why climate change is the biggest global health threat of the century https://trtl.bz/2FSj9SI
How a Volatile Climate Shapes the Way People Think https://trtl.bz/2r8a9yI "New research finds that people living in climatically turbulent regions tend to make riskier decisions than those in relatively more stable environments."

Insurance

Managing Risk and Uncertainty: The Future of Insurance (a16z) https://a16z.com/2018/11/30/risk-uncertainty-insurance-angela-strange-summit/
In GE Probe, Ex-Staffers Say Insurance Risks Were Ignored https://trtl.bz/2FUGcfR
Insuring Against Drop in Chinese Students https://trtl.bz/2FVFxL2

Investing

U.S. Pension Funds Turn to Riskier Real-Estate Bets (WSJ) https://trtl.bz/2FDFZ0e "American public plans with more than 20,000 members had an average 7% of their assets in real-estate investments at the end of 2017 [up from 4% in 2006]."
Transcript: MIB Live with Ray Dalio https://ritholtz.com/2018/12/transcript-mib-live-with-ray-dalio/

Case studies

Anat Admati on the Financial Crisis of 2008 http://www.econtalk.org/anat-admati-on-the-financial-crisis-of-2008/
How More Americans Are Getting a Perfect Credit Score https://trtl.bz/2FO56O7
The Amazing Madoff Clawback https://trtl.bz/2FSzzKX
[LTCM] Reading Around: The Latticework Framework https://blogs.cfainstitute.org/investor/2018/11/27/off-the-record/ "The eternal question that has been pondered again and again is: How was it that these extremely smart people [i.e., the founders and leadership of Long-term Capital Management] could screw up so badly?"

Models

[Book] The Model Thinker: What You Need to Know to Make Data Work for You https://amzn.to/2Quk1RC
Fama French with R: Managing Multiple Models https://trtl.bz/2G0eHRM
Model selection 101, using R https://trtl.bz/2FRJNv8

Technology

OK, Computer: How Much Is My House Worth? (Proposed regulations would allow the majority of homes to be bought and sold without being appraised by a human) https://trtl.bz/2FQessy
People still don't know how to assess cyber risk (Noman Marks) https://trtl.bz/2FRIuvV

Longevity

US Life Expectancy Falls Further (WSJ) https://trtl.bz/2FTywKx; and: Americans are Dying Even Younger https://trtl.bz/2FSyPp9 and: The decline in U.S. life expectancy is unlike anything we've seen in a century https://www.popsci.com/life-expectancy-declining The CDC report is here https://www.cdc.gov/nchs/data/hus/hus17.pdf

Governance