Blog Week in Risk (December 9th)

David Harper CFA FRM · Dec 9, 2018

New YouTube

Delta-gamma value at risk (VaR) with the Taylor Series Approximation (FRM T4-4) https://trtl.bz/2SAyed3
Exotic options: binary (aka, digital) option (FRM T3-44) https://trtl.bz/2PqrxII

In the forum

[2019 FRM exam] Thank you @Nicole Seaman for starting threads that make public the status of our published materials. Consider bookmarking these links! Here is Part 1 https://trtl.bz/2FUORia and here is Part 2 https://trtl.bz/2FUOR1E. But your FIRST STEP should be to read her explanation of our publishing process; PLEASE READ this before asking questions. Here is the explanation: https://trtl.bz/2FUOSCK
[Nov 2018 FRM exam] In case you missed them, here are the lengthy feedback threads on the most recent exam: Part 1 is here https://trtl.bz/2KfIlRM and Part 2 is here https://trtl.bz/2DMDhnx
[P1.T2] Why can we use the F-distribution to test a seasonal time-series model? https://trtl.bz/2GaaX0i
[P1.T2] A basic relationship (and component of Bayes Theorem) is that the joint probability equals the product of the unconditional and conditional probability https://trtl.bz/2FUNU9A
[P1.T2] On the rules for accessing the mean of a continuous distribution (as opposed to a confidence-based quantile) https://trtl.bz/2G9pOYG
[P1.T4] Understanding the role of gamma in a dynamic delta-hedge on the dollar-euro exchange rate https://trtl.bz/2G966N0
[P1.T4] In what ways can we stress the covariance matrix? https://trtl.bz/2FZGBO2
[P1.T4*] Can anybody help with VaR components known as "vertical disallowance" and "horizontal disallowance?" https://forum.bionicturtle.com/threads/work-based-doubt-in-var.22030/

External

Risk

Executive Perspectives on Top Risks 2019 https://www.protiviti.com/US-en/insights/protiviti-top-risks-survey One of the better top risks surveys. "One risk jumped from the tenth position to the number one spot for 2019: concerns that existing operations and legacy IT infrastructure may not be able to meet performance expectations as well as competitors that are born digital."
Year in Risk 2018 (RIMS) http://www.rmmagazine.com/2018/12/03/year-in-risk-2018/
Catastrophe Ratemaking Basics (first in a series) https://www.air-worldwide.com/Blog/Catastrophe-Ratemaking-Basics/
The December Issue of III's (Insurance Information Institute) Latest Studies Digest https://www.iii.org/resource-center/latest-studies
[GARP] Risk Management Among Leading AI Use Cases, McKinsey Finds https://trtl.bz/2rrQ7PX
[BIS] Basel III finalization announcement https://www.bis.org/bcbs/b3/finalisation_20171207.htm
[BIS] Monthly newsletter https://www.bis.org/press/newsletter.htm

Cyber

Cyber-resilience: range of practices report issued by the Basel Committee https://www.bis.org/press/p181204.htm
The State of Cyber Insurance Pricing https://www.air-worldwide.com/Blog/The-State-of-Cyber-Insurance-Pricing/
Quora Data Breach Impacts 100 Million Users https://trtl.bz/2rvytul
Do you understand cyber risk? https://trtl.bz/2ruRn4K
The Wired Guide to Data Breaches https://www.wired.com/story/wired-guide-to-data-breaches/

Quantitative (including Data)

GARCH and a rudimentary application to Vol Trading (review of datacamp's new course) https://trtl.bz/2rnN4Ij
ML & Investing Part 1: From Linear Regression to Ensembles of Decision Stumps https://www.osam.com/Commentary/ml-investing-linear-regression-to-decision-stumps
NASDAQ Acquires Quandl.com to Advance the Use of Alternative Data https://trtl.bz/2rodEB3

Climate (including ESG)

Global fossil fuel emissions have climbed upward for a second straight year, driven by growing energy use https://news.stanford.edu/press/view/24972 NY Times on same report https://trtl.bz/2rpb91o
The Bond That Could Be Wiped Out by California’s Wildfires https://trtl.bz/2rrPx4J
State of Integrated and Sustainability Reporting 2018 https://corpgov.law.harvard.edu/2018/12/03/state-of-integrated-and-sustainability-reporting-2018/
The Sum of Its Parts: Wildfire in Multi-Peril Catastrophe Bonds https://www.rms.com/blog/2018/12/04/the-sum-of-its-parts-wildfire-in-multi-peril-catastrophe-bonds/

Investing

Careers

The new CFO mandate: Prioritize, transform, repeat (McKinsey) https://trtl.bz/2rlR6kF "The most commonly cited activity that reports to the CFO this year is risk management, as it was in 2016. In addition, more than half of respondents say their companies’ CFOs oversee internal-audit processes and corporate strategy."
Hedge Fund Dream Job Is Vanishing https://trtl.bz/2rj8pmm
How to Get into Investment Banking in 2018 – and Beyond (Brian DeChesare) https://www.mergersandinquisitions.com/how-to-get-into-investment-banking/
Unsexy Actuaries Are 97.28892% Certain They Need Stronger Brand https://trtl.bz/2rrPkOZ
What’s Not Going to Change in Financial Services? https://awealthofcommonsense.com/2018/12/whats-not-going-to-change-in-financial-services/ "Anything that can be automated in the future will be automated"

Other

24 Cognitive Biases That Are Warping Your Perception of Reality https://www.visualcapitalist.com/24-cognitive-biases-warping-reality/
Bernie Madoff’s Legacy: Whistleblower Inc. (WSJ) https://trtl.bz/2rvyZbL "Today, an entire industry is devoted to surfacing tips from company insiders and expert analysts who scrutinize corporate filings. Whistleblower Inc. is the most tangible consequence of the Madoff scandal a decade after the money manager’s Dec. 11, 2008 arrest."