New practice questions
- P1.T3.700. Major risks faced by banks (Hull) https://forum.bionicturtle.com/threads/p1-t3-700-major-risks-faced-by-banks-hull.10233/
- P1.T3.701. Basic bank functions and definitions (Hull) https://forum.bionicturtle.com/threads/p1-t3-701-basic-bank-functions-and-definitions-hull.10243/
- P2.T8.705. Berkshire Hathaway versus its benchmark (Ang) https://forum.bionicturtle.com/threads/p2-t8-705-berkshire-hathaway-versus-its-benchmark-ang.10237/ Please see my comments about alpha
- P2.T8.706. Alpha, style analysis and the risk anomaly (Ang) https://forum.bionicturtle.com/thre...tyle-analysis-and-the-risk-anomaly-ang.10247/
- Good question by @irwinchung about reconciling Dowd's apparent contradiction between a sub-additive measure (which is desirable) and realistic multivariate non-normal tail risks which are often not subadditive (I think it's the difference between a metric property and actual risks) https://forum.bionicturtle.com/threads/l2-t5-71-coherent-risk-measures.3655/#post-48313
- Thank you Smita for spotting my mistake in explaining GARP’s challenging question about the implied volatility smile/smirk https://forum.bionicturtle.com/thre...olatility-smile-garp16-p2-64.9990/#post-48319
- I agree with Jacek that kurtosis is property of the tail, although discussion for credible sources who continue to refer to leptokurtosis as higher peakedness (and why the student’s t is a sort of optical illusion in this respect: a standardized student’s t distribution does have a higher-than-normal peak) https://forum.bionicturtle.com/threads/p1-t2-203-skew-and-kurtosis-stock-watson.5223/#post-48310
- If the sample size is 200, should we still divide by (n-1) for the sample variance? https://forum.bionicturtle.com/threads/denominator-n-1-of-sample-variance.10248/
- How can futures contracts necessarily have zero value at inception? https://forum.bionicturtle.com/threads/concept-of-forward-and-future-contracts.10245/
- Two good futures questions, 1. What if a counterparty wants to deliver but can’t find a matching long? 2. If collateral is marked daily, how is it different than margin? https://forum.bionicturtle.com/thre...settlement-process-in-future-contracts.10240/
- Another way to think about why lower correlation increases the spread (lowers the value) of a first-to-default (1TD) credit default swap https://forum.bionicturtle.com/thre...tives-1td-cds-trs-cln-crouhy.9311/#post-48227 (this is essentially the same topic as last week’s discussion about Meissner’s GM/Ford correlation trade example https://forum.bionicturtle.com/threads/short-equity-t-long-mezzannine-t-correlation-impact.10203/)
- More on Crouhy’s RAROC and why we add back the interest earned on the economic capital https://forum.bionicturtle.com/threads/p2-t7-607-adjusted-raroc-and-raroc-in-practice-crouhy.9731
- This isn’t in our forum but it’s a nice review of us http://www.financewalk.com/bionic-turtle-frm-review/
- Basel III - The Net Stable Funding Ratio: frequently asked questions https://www.bis.org/bcbs/publ/d396.htm
- Political Risk in a Disrupted Global Landscape http://xlcatlin.com/fast-fast-forward/articles/political-risk-in-a-disrupted-global-landscape
- Financial Times Special Report: The Future of Regulation https://www.ft.com/reports/future-of-regulation
- How Political Risk Is Shifting to Developed Markets by Mohamed A. El-Erian https://www.bloomberg.com/view/arti...litical-risk-is-shifting-to-developed-markets
- Signs of a Step Back in Financial Regulatory Enforcement https://www.nytimes.com/2017/02/20/...back-in-financial-regulatory-enforcement.html references TCH’s Anti-Money Laundering Report http://trtl.bz/2m10EjX
- Repealing Dodd-Frank and Basel III http://econbrowser.com/archives/2017/02/repealing-dodd-frank-and-basel-iii
- Buy American, Hire American: The Sovereign Debt Dilemma (While President Trump’s protectionist trade policy has been debated and criticized, home bias is already pervasive in the financial community. Indeed, recent stress tests performed by the EIOPA highlight an overwhelming home country bias toward holdings of sovereign debt) by Marco Folpmers, FRM http://trtl.bz/2lKHNZs
- Demystifying cyber insurance https://dupress.deloitte.com/dup-us...ces/demystifying-cybersecurity-insurance.html
- Many Companies Taking a Pass on Buying Cyber Insurance (Lack of a standard language, concern over potential coverage gaps, and uncertainty over the value of policies are making businesses wary) http://ww2.cfo.com/risk-management/2017/02/companies-passing-cyber-insurance/
- Insurance and the big data technology revolution (Filling in endless forms to buy a new policy may become a thing of the past) https://www.ft.com/content/bb9f1ce8-f84b-11e6-bd4e-68d53499ed71 “Big insurance companies are pouring millions into innovation and research … Meanwhile, billions more are going into so-called insurtech start-ups which are aiming to challenge the big players. The likes of So-sure, Friendsurance, Lemonade, Guevara, Brolly and a host of others are aiming to disrupt insurance in the same way that Uber, Airbnb, Netflix and Spotify have caused upheaval in other industries. According to CB Insights, $1.7bn went into insurance start-ups last year, across 173 deals.”
- Rise of the Drones (Managing the Unique Risks Associated with Unmanned Aircraft Systems) by Allianz http://www.agcs.allianz.com/insights/white-papers-and-case-studies/rise-of-the-drones/
- Monetizing the insider: The dark web’s increasing influence on insider risk https://redowl.com/2017/01/monetizing-insider-dark-webs-increasing-influence-insider-risk/ via GARP’s article here @ http://trtl.bz/2leM2Jr
- A beginner’s guide to Ethereum https://blog.coinbase.com/a-beginners-guide-to-ethereum-46dd486ceecf#.kvog9l4vq
- How banks are using Watson http://bitcoinagile.com/B7899D/how-banks-are-using-watson-digiday_stream
- Big Banks Declare War on Venmo https://www.bloomberg.com/news/articles/2017-02-22/big-banks-declare-war-on-venmo
- Numeraire http://avc.com/2017/02/numeraire/ and more at wired.com: An AI Hedge Fund Created a New Currency to Make Wall Street Work Like Open Source https://www.wired.com/2017/02/ai-he...rency-make-wall-street-work-like-open-source/
- Your Biggest Online Security Risk Is You (How to keep your guard up against phishing emails, texts, Facebook pop-ups and chat messages that trick you into sharing personal information) https://www.wsj.com/articles/your-biggest-online-security-risk-is-you-1487786578
- Silicon Valley Tried to Upend Banks. Now It Works With Them https://www.nytimes.com/2017/02/22/...ed-to-upend-banks-now-it-works-with-them.html
- Cybersecurity: The New Arms Race of Wealth Management (How RIAs respond to customers in the aftermath of a data breach is crucial but wrought with confusing or no requirements) https://www.wsj.com/articles/cybersecurity-the-new-arms-race-of-wealth-management-1487343604
- Talking Cybersecurity From A Risk Management Point of View http://www.darkreading.com/careers-...-risk-management-point-of-view/a/d-id/1328050
- California Dam Crisis Could Have Been Averted https://www.scientificamerican.com/article/california-dam-crisis-could-have-been-averted/
- California’s Dams Set to Face New Stress Tests (More expected rain will tax a reservoir system that already is worrying officials) https://www.wsj.com/articles/californias-dams-set-to-face-new-stress-tests-1487419200
- San Jose mayor: Clear ‘failure’ led to record flooding http://www.mercurynews.com/2017/02/22/san-jose-flood-mayor-clear-failure-delayed-warning/
- America’s Aging Dams Are in Need of Repair https://www.nytimes.com/interactive/2017/02/23/us/americas-aging-dams-are-in-need-of-repair.html
- Mexico City, Parched and Sinking, Faces a Water Crisis (Climate change is threatening to push a crowded capital toward a breaking point) https://www.nytimes.com/interactive/2017/02/17/world/americas/mexico-city-sinking.html
- Book Review: The FinTech Book (CFA’s Enterprising Investor) https://blogs.cfainstitute.org/investor/2017/02/23/book-review-the-fintech-book/ “The FinTech Book truly lives up to its title. It is a genuinely cross-discipline, hands-on, and comprehensive compendium that can benefit all players in the fintech space, including investors, entrepreneurs, incumbent institutions, and regulators.” This group is launching three additional crowd-sourced books on RegTech, InsurTech and WealthTech, see http://thefintechbook.com/
- Warren Buffett's Annual Shareholder Letter http://www.berkshirehathaway.com/letters/2016ltr.pdf
- Financial Modeling For Startups: The Spreadsheet That Made Us Profitable http://trtl.bz/2lKQhzC
- FinCEN Renews Real Estate “Geographic Targeting Orders” to Identify High-End Cash Buyers in Six Major Metropolitan Areas https://www.fincen.gov/news/news-re...aphic-targeting-orders-identify-high-end-cash
- Risk Management and the Board of Directors https://corpgov.law.harvard.edu/2017/02/15/risk-management-and-the-board-of-directors-4/ “Major institutional shareholders and proxy advisory firms now evaluate risk oversight matters when considering withhold votes in uncontested director elections and routinely engage companies on risk-related topics. This focus on risk management has also led to increased scrutiny of the relationship between compensation arrangements throughout the organization and excessive risk taking. Risk management is no longer simply a business and operational responsibility of management. It has also become a governance issue that is squarely within the purview of the board. Accordingly, oversight of risk should be an area of regular board assessment. This overview highlights a number of issues that have remained critical over the years and provides an update to reflect emerging and recent developments.”
- Snap and the 21st century governance vacuum https://www.ft.com/content/1c618f6a-f45b-11e6-8758-6876151821a6
- Tailored Accounting Takes Companies Into Alternate Reality (Recent moves by the Securities and Exchange Commission serve as a reminder that non-GAAP corporate results should be digested with a grain of salt) https://www.wsj.com/articles/tailored-accounting-takes-companies-into-alternate-reality-1487869300
- How to catch a cheat (Tim Harford on the VW emissions scandal) http://timharford.com/2017/02/how-to-catch-a-cheat/
- The State of Risk Management https://onriskof.com/2017/02/20/the-state-of-risk-management/
- OCC releases Fall 2016 Semi-annual Risk Perspective http://www.rmahq.org/occ-releases-fall-2016-semiannual-risk-perspective-blog/
- Shareholder’s Equity http://www.wallstreetmojo.com/shareholders-equity/ and Cost of Equity with CAPM by WallStreetMojo http://www.wallstreetmojo.com/cost-of-equity-capm/
- Higher moment Portfolio models. Skewness preference. https://financetrainingcourse.com/e...-moment-portfolio-models-skewness-preference/
- Linear Regression and ANOVA shaken and stirred http://pacha.hk/anova.html “Linear Regression and ANOVA concepts are understood as separate concepts most of the times. The truth is they are extremely related to each other being ANOVA a particular case of Linear Regression.”
- Why I Voted to Keep Rates Steady (by Neel Kashkari (President Minneapolis Fed) http://trtl.bz/2lpmuKk “I always begin my analysis by assessing where we are in meeting the dual mandate Congress has given us: price stability and maximum employment.”
- The mortgage market is now dominated by non-bank lenders http://trtl.bz/2lW1A8K
- 5 Things About Catastrophe Modeling Every Reinsurer Should Know http://analyzere.com/5-things-cat-modeling-every-reinsurer-know/
- Startup Exchange IEX Challenges Rivals With Free Web Data Feed (Web-based tool broadcasts best price at which traders are willing to buy or sell stock or ETF, along with last price traded) https://www.wsj.com/articles/startu...ges-rivals-with-free-web-data-feed-1487768460
- Why All Exchange Rates Are Bad http://conversableeconomist.blogspot.com/2017/02/why-all-exchange-rates-are-bad.html
- Anatomy of a Bull Market https://blog.thinknewfound.com/2017/02/anatomy-bull-market/ “When it comes to analyzing bull markets, inflation, interest rates, equity valuations, earnings, and dividends all play a part.”
- The Perfect ‘Frexit’ Trade? Credit-Default Swaps (French credit-default swap trading volumes surge following Marine Le Pen’s gains in election polls) https://www.wsj.com/articles/french-credit-default-swap-trading-volumes-surge-1487787868
- As Auto Lending Rises, So Do Delinquencies https://www.nytimes.com/2016/11/30/business/dealbook/as-auto-lending-rises-so-do-delinquencies.html and FICO analyzes this further at Auto Loan Credit Quality: Hazardous Road Conditions Ahead? http://www.fico.com/en/blogs/risk-c...edit-quality-hazardous-road-conditions-ahead/
- SolarCity’s Ties to Foreclosure Cases Raise Questions on Vetting Policies https://www.nytimes.com/2017/02/22/business/solarcity-foreclosure-cases.html
- Alpha or Assets http://investorfieldguide.com/alpha-or-assets/
- The Low Volatility Anomaly: Gunpowder Inc. http://www.allaboutalpha.com/blog/2017/02/26/the-low-volatility-anomaly-gunpowder-inc/
- Gotham Hedge Fund Explores Shifting Fees to Tie Pay to Returns https://www.bloomberg.com/news/arti...-explores-shifting-fees-to-tie-pay-to-returns “The firm is in talks with some investors for its Gotham Neutral Strategies hedge fund about charging one fee: the greater of a 1 percent management fee or 30 percent of returns that exceed the fund’s benchmark, according to two people familiar with the matter. The equity fund currently charges 1.5 percent of assets in management fees and 20 percent of profits, one of the people said.”
- CalPERS’ Private Equity Portfolio Continues to Earn Way Too Little for the Risk http://www.nakedcapitalism.com/2017...portfolio-continues-earn-way-little-risk.html
- How Colleges Lost Billions to Hedge Funds in 2016 http://www.chronicle.com/article/How-Colleges-Lost-Billions-to/239245
- Measuring Systemwide Resilience of Central Counterparties (by OFR) https://www.financialresearch.gov/briefs/2017/02/22/stress-testing-ccp/
- It’s Like the Financial Crisis Never Happened … (A decade since the U.S. subprime crisis began, and everything’s wonderful on Wall Street) https://www.wsj.com/articles/its-like-the-financial-crisis-never-happened-1487771744
