New practice questions
- P1.T2.702. Simple (equally weighted) historical volatility (Hull) https://forum.bionicturtle.com/thre...ly-weighted-historical-volatility-hull.10144/
- P1.T2.703. EWMA versus GARCH volatility (Hull) https://forum.bionicturtle.com/threads/p1-t2-703-ewma-versus-garch-volatility-hull.10152/
- P2.T6.708. Stress testing the credit value adjustment (CVA) https://forum.bionicturtle.com/thre...esting-the-credit-value-adjustment-cva.10147/
- P2.T8.700. Theory of factor risk premiums (Andrew Ang) https://forum.bionicturtle.com/threads/p2-t8-700-theory-of-factor-risk-premiums-andrew-ang.10155/
- Some good discussion on DVA, including about the counter-intuitive idea that an bank can book a gain for is own credit deterioration https://forum.bionicturtle.com/threads/cva-questions.8594/ ... for a specific example Crouhy writes (Chapter 13): "For example, in 2009, first-quarter results of some banks were not as bad as initially feared due to gains booked on their balance sheets as a result of their own credit quality’s deteriorating— e.g., Citigroup reported a profit of $ 2.5 billion due to its worsened credit quality."
- Rob makes a good point that precise terminology matters when referring to the implied volatiltiy smile (e.g., better to say something like "heavy-tailed on the left tail where returns are negative") https://forum.bionicturtle.com/threads/p2-t5-200-implied-volatility-topic-review.5981/#post-47850
- For any given maturity, is the DV01 of a zero-coupon bond necessary less than the DV01 of a coupon-bearing par bond? https://forum.bionicturtle.com/threads/p2-t5-204-fixed-income-i-topic-review.6026/#post-47852
- Some of my comments on the T2. Diebold time series material and recommendations if you want to explore further in code https://forum.bionicturtle.com/thre...nd-nonlinear-trends-diebold.10150/#post-47896
- On the different manifestations of "risk-neutral" in Tuckman, in particular risk-neutral probabilities versus a risk-neutral interest rate process https://forum.bionicturtle.com/threads/risk-neutral-interest-rate-process.10140/
- What exactly is filtered historical simulation, again? https://forum.bionicturtle.com/threads/l2-t5-80-filtered-historical-simulation.3699/
- Alpha is a regression intercept, but that is not ultimately different than Jensen's alpha as the portfolio's outperformance compared to the market model https://forum.bionicturtle.com/threads/p1-t1-404-tracking-error-information-ratio-and-sortino.7519/ ... and further conversation here https://forum.bionicturtle.com/threads/p1-t1-403-treynor-sharpe-and-alpha-calculations.7506/
- Why does KMV include only 1/2 of the long-term debt in it's Merton-based default threshold https://forum.bionicturtle.com/threads/kmv-cr-model-why-1-2-long-term-debt.10158/
- Dividends in BSM are similar to Hull's cost of carry model in the sense that they are realistically discrete but academically continuous. But discrete/continuous dividends is not a substantive difference; they are mathematically linked and both reduce the stock price https://forum.bionicturtle.com/threads/p1-t4-5-black-scholes-with-dividends.4795/page-4#post-47960
- In Tuckman's interest rate trees, we always follow him by referring to "annual basis point volatiltiy" as a percentage point change; e.g., a short rate increase from 2.00% to 2.30% is called a +30 basis point increase, not a 15% percent increase https://forum.bionicturtle.com/thre...rest-rate-volatility-model-3.6721/#post-33894
- The illustration of VaR as lacking coherence (not subaddtive) and how VaR can be greater or less than EL https://forum.bionicturtle.com/threads/treasuries-positive-pd-unexpected-loss.10148/
- A pretty oldie-but-goodie exam question on the least likely distribution to be used for operational frequency loss https://forum.bionicturtle.com/threads/does-poisson-distr-require-n-large.10161/
- The Fed released the scenarios to be used by banks and supervisors for the 2017 Comprehensive Capital Analysis and Review (CCAR) and Dodd-Frank Act stress test exercises https://www.federalreserve.gov/newsevents/press/bcreg/20170203a.htm
- Banks Make Unwanted Risk Lucrative With Bets for Hedge Funds https://www.bloomberg.com/news/arti...ted-risk-into-lucrative-bets-with-hedge-funds
- Fed: Banks Under $250 Billion Threshold Get Break on Stress Tests (Banks with $50 billion to $250 billion in assets to be exempt from qualitative assessment but will still have to meet capital requirements) https://www.wsj.com/articles/fed-ba...hreshold-get-break-on-stress-tests-1485812085
- Deloitte’s Securities Regulatory Outlook 2017 https://www2.deloitte.com/us/en/pages/regulatory/articles/securities-regulatory-outlook.html This is helpful, report is here http://trtl.bz/2jNIAWe
- Deep Risk Under President Trump http://awealthofcommonsense.com/2017/02/deep-risk-under-president-trump/ “Risk, then, comes in two flavors: shallow risk, a loss of real capital that recovers relatively quickly, say within several years; and deep risk, a permanent loss of real capital. Put into different words, shallow risk, if handled properly, deprives you only of sleep for a while; deep risk deprives you of sustenance … The four main causes of deep risk according to Bernstein are hyperinflation, prolonged deflation, devastation (wars or geopolitical disasters) or government confiscation of assets.”
- Donald Trump Plans to Undo Dodd-Frank Law, Fiduciary Rule (White House adviser Gary Cohn says banks burdened by rules added after financial crisis) https://www.wsj.com/articles/trump-moves-to-undo-dodd-frank-law-1486101602
- Higher Jobless Rate Suggests Economy Has Room to Run https://www.wsj.com/articles/u-s-added-a-robust-227-000-jobs-in-january-1486128784
- Kerstin af Jochnick: The completion of Basel III - the start of something new http://www.bis.org/review/r170201d.htm
- A Critical Review of Two Loans for New Construction (P2P autopsy) http://blog.groundfloor.us/groundfloorblog/a-critical-review-of-two-loans-for-new-construction
- Fraud risk management in banks - the do's and don'ts (Keynote address by Mr S S Mundra, Deputy Governor of the Reserve Bank of India) http://www.bis.org/review/r170202d.htm
- The slow death of the investment bank analyst (To clean up a murky business, regulators have in effect killed it off) https://www.ft.com/content/db7d5d0a-e873-11e6-893c-082c54a7f539
- This app doesn't just do your homework for you, it shows you how http://www.theverge.com/2017/1/19/14329652/socratic-app-homework-math-algebra-mathsteps
- Black Edge by Kolhatkar (review by Brenda Jubin) http://readingthemarkets.blogspot.com/2017/02/kolhatkar-black-edge.html and a deeper review here https://www.nytimes.com/2017/02/01/...a-hedge-fund-magnate-and-insider-trading.html “But my hunch is that readers will most remember Black Edge for showing them just how alarmingly pervasive insider trading was in the years surrounding the 2008 collapse. It became commonplace, domesticated — dare I say it? — normalized.”
- New courses: Introduction to Statistics (Datacamp) https://www.datacamp.com/community/blog/new-courses-introduction-to-statistics#gs.czXS6iM Some fantastic courses here!
- Recreating RView's Reproducible Finance With R: Sector Correlations http://www.mattdancho.com/financial...reating-RViews-Reproducible-Finance-Post.html
- Infographic – Learning Plan 2017 for beginners in data science https://www.analyticsvidhya.com/blog/2017/01/learning-plan-2017-beginners-data-science/
- What is Data Engineering? https://www.dataquest.io/blog/what-is-a-data-engineer/
- Linear Regression with Python https://hackernoon.com/from-what-is...ow-markov-models-work-1ac5f4629b71#.9khqrilpf
- Adopting A Two-Dimensional Risk Tolerance Assessment Process https://www.kitces.com/blog/tolerisk-aligning-risk-tolerance-and-risk-capacity-on-two-dimensions/
- Credit-Card Fraud Keeps Rising, Despite New Security Chips—Study (Increase in identity fraud driven by rise in fraudulent online purchases) https://www.wsj.com/articles/credit...ng-despite-new-security-chipsstudy-1485954000
- The History of Money Explained in One Infographic http://www.visualcapitalist.com/the-history-of-money-explained-infographic/
- BlackRock, Vanguard and State Street bulk up governance staff https://www.ft.com/content/657b243c-e492-11e6-9645-c9357a75844a “The focus on corporate governance comes as regulators and politicians around the world increasingly scrutinise the relationship between companies and their shareholders. Asset managers have previously been accused of routinely supporting company proposals in order to avoid damaging their relationships with senior executives … The belief is that better governance analysis helps investors avoid companies that are on the brink of a costly scandal. This issue has come to the fore over the past two years after the exposure of serious governance failings at Petrobras, the Brazilian oil company, and Volkswagen, the German carmaker, which caused their share prices to fall dramatically.”
- The ISO 31000 Risk Management Process https://www.linkedin.com/pulse/iso-31000-risk-management-process-peter-blokland
- Financial Statement Requirements in US Securities Offerings https://corpgov.law.harvard.edu/201...ment-requirements-in-us-securities-offerings/
- Facebook Earnings Enjoy a Nearly $1 Billion Tax Windfall From Accounting Change https://www.wsj.com/articles/facebo...ax-windfall-from-accounting-change-1486044709 “[When employees exercise their stock options] is compensation cost to the company, and it is tax-deductible. When options are exercised, it is typically after the company’s stock price has risen, making them more valuable, and so the company recognizes excess tax benefits—the deductions over and above those it expected to realize when the options were first granted. Under the old rules, those excess tax benefits go into the company’s shareholder equity. But under the FASB change, they will be recognized on the income statement immediately—and that reduces the company’s provision for taxes, boosting net income.”
- Comprehensive & Practical Inferential Statistics Guide for data science https://www.analyticsvidhya.com/blo...al-guide-inferential-statistics-data-science/
- A Litany of Problems With p-values http://www.fharrell.com/2017/02/a-litany-of-problems-with-p-values.html
- The real meaning of spurious correlations https://nsaunders.wordpress.com/2017/02/03/the-real-meaning-of-spurious-correlations/
- 26 Articles and Tutorials about Regression Analysis http://www.datasciencecentral.com/p...icles-and-tutorials-about-regression-analysis
- Basics of Probability for Data Science explained with examples https://www.analyticsvidhya.com/blog/2017/02/basic-probability-data-science-with-examples/
- Where Do Z-Score Tables Come From? (+ how to make them in R) https://qualityandinnovation.com/2017/02/02/where-do-z-score-tables-come-from-how-to-make-them-in-r/
- From What is a Markov Model to Here is how Markov Models Work https://hackernoon.com/from-what-is...ow-markov-models-work-1ac5f4629b71#.9khqrilpf
- Black Cloud of Illiquidity Hovers Over the Bond Market https://www.bloomberg.com/view/arti...ud-of-illiquidity-hovers-over-the-bond-market
- Changes to Foreign Exchange Accounting Rules https://www.linkedin.com/pulse/changes-foreign-exchange-accounting-rules-jeffrey-warner-cfa
- A Synthetic CDO by Any Other Name Is Still Risky https://www.bloomberg.com/gadfly/ar...ynthetic-cdo-by-any-other-name-is-still-risky
- A short discourse on LendingRobot Series’ loan selection algorithm http://blog.lendingrobot.com/resear...lendingrobot-series-loan-selection-algorithm/ “Logistic regression is a well established method for predicting probabilities, making it particularly suited to our binary classification of defaulting and non-defaulting loans.”
- 4 smart beta predictions for 2017 (BlackRock) https://www.blackrockblog.com/2017/01/31/smart-beta-predictions-2017/ She references Andrew Ang who is newly assigned in FRM Topic 8: “Value strategies, the most beaten down in past years, returned to favor, as they have tended to do well when market trends reverse (source: Ang, Andrew. Asset Management: A Systematic Approach to Factor Investing)”
- Hedge funds are tracking your every move, and it’s the future of investing (quantamental; aka, alternative data) http://www.businessinsider.com/mate...ernative-data-quantamental-hedge-funds2016-12
- Derivatives ‘Big Bang’ catches market off guard (Unprepared counterparties risk being shut out of swaps business after March shake-up) https://www.ft.com/content/086ec02a-e6fc-11e6-967b-c88452263daf “Global regulators have succeeded in pushing three-quarters of the interest rate derivatives market, or what are known as standardised trades, into clearing houses that sit between a buyer and seller and manage the fallout should one side default. The remainder of the market, with a notional value of $110tn, is made up of bespoke deals that are harder to value and price over time. It is this part of the market that faces an imminent shake-up, including the need for those entering derivative contracts to begin supplying variation margin, a form of insurance that moves daily to match fluctuations in asset prices.”
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