Welcome back after the exams! If you sat for the FRM, congratulations on following through on one of the toughest exams in finance. If you don't feel like you passed, please let me remind you: that is a common feeling, given the exam's difficulty. @Nicole Seaman started two threads for feedback on Saturday's FRM exams
- Part 1 Feedback https://forum.bionicturtle.com/threads/may-2017-part-1-exam-feedback.10502/
- Part 2 Feedback https://forum.bionicturtle.com/threads/may-2017-part-2-exam-feedback.10503/
- How can quartile scores of ‘3322’ fail but ‘3422’ pass? https://forum.bionicturtle.com/threads/november-2016-part-1-exam-feedback.10028/page-13#post-50297
- [General] Does anyone have expertise in data validation? https://forum.bionicturtle.com/threads/data-validation.10476/
- [P1.T1] According to the ISDA skeleton contract, what triggers are TYPICALLY credit events; e.g., is a downgrade a credit event? https://forum.bionicturtle.com/threads/p1-t1-604-credit-risk-topic-review.9708/#post-50267
- [P1.T1] Thank you @jacobweiss2305 for your attention to detail with the probability matrix in Bayes https://forum.bionicturtle.com/threads/p1-t2-501-more-bayes-theorem-miller.8324/
- [P1.T3] How F(0,T) = E[S(t)]*e^[(r-k)*T] explains the theory of normal backwardation https://forum.bionicturtle.com/thre...contracts-topic-review.5989/page-2#post-50212
- [P1.T3] Which hedge fund strategy is less correlated to the broad market, merger arb (risk arb) or equity long/short? https://forum.bionicturtle.com/threads/p1-t3-706-hedge-funds-hull.10292/#post-50255
- [P1.T3] How much will a homeowner, who has a 30-year 5.0% fixed-rate mortgage with a current balance of USD 250,000, save if she refinances into a new 30-year 4.0% fixed rate? https://forum.bionicturtle.com/threads/mortgage-refinance.9715/page-2#post-50320
- [P1.T4] Good questions about the direction (+/-) of convexity/gamma in a short position https://forum.bionicturtle.com/thre...lue-at-risk-var-topic-review.6187/#post-50266
- [P2.T5] Can you compute geometric returns of negative interest rates? https://forum.bionicturtle.com/threads/geometric-returns-of-negative-interest-rates.10475/
- [P2.T5] A tough question on the Vasicek interest rate model https://forum.bionicturtle.com/threads/vasicek-model-question.10477/
- [P2.T5] Dowd’s “geometric return” is probably better called a “log return” or “continuously compounded return” to avoid confusion with “geometric AVERAGE return” https://forum.bionicturtle.com/thre...ulation-value-at-risk-hs-var.3642/#post-50337
- [P2.T6] There is only one Merton formula despite it appears like there are two or three https://forum.bionicturtle.com/threads/p2-t6-303-malz-on-merton-model.6794/#post-50417
- [P2.T6] Bond identity and delivery option are technical factors that impact the CDS-bond basis https://forum.bionicturtle.com/threads/p2-t6-407-credit-exposure.7704/#post-50231
- [P2.T6] Why is it easier to synthetically replicate a total return swap (TRS) than a credit default swap (CDS) https://forum.bionicturtle.com/thre...urn-swaps-topic-review.6217/page-2#post-50288
- [P2.T6] Helpful response by @QuantMan2318 on the collateral volatility in a repo https://forum.bionicturtle.com/threads/p2-t6-406-counterparty-risk-characteristics.7695/#post-50474
- [P2.T7] Best definition of leverage ratio https://forum.bionicturtle.com/threads/p2-t7-509-collateral-markets-malz.8366/#post-50486
- [P2.T7] Interpreting the Loss Component (and Internal Loss Multiplier) under the Standardized Measurement Approach (SMA) for operation risk https://forum.bionicturtle.com/threads/loss-component-under-sma.10479/
- [P2.T7] Loss component under SMA approach to operational risk https://forum.bionicturtle.com/threads/loss-component-under-sma.10479/
- [P2.T8] @kevolution spots our matrix math mistake, thank you! https://forum.bionicturtle.com/thre...-variance-formula-for-2-asset-question.10481/
- [P2.T8] Key surplus at risk (SaR) definitions https://forum.bionicturtle.com/threads/p2-t8-12-surplus-at-risk-sar.5488/page-2#post-50291
- [P2.T8] Awesome clinic by @emilio on T^2 versus M^2 https://forum.bionicturtle.com/thre...d-m-2-and-t-squared-measures.5561/#post-50433
- [GARP 2010.P2.11] We agree with @irwinchung that unexpected loss (UL) is NOT always increasing faster than expected loss (EL) with increasing EDF https://forum.bionicturtle.com/threads/2010-garp-practice-exam-l2-q11-edf-el-ul.4502/#post-50349
- [GARP 2010.P2.23] Component VaRs should sum to Portfolio VaR https://forum.bionicturtle.com/threads/garp-2010-part-2-question-23.10495/
- [GARP 2014 P2.7] Why marginal default probability is a CONFUSING term https://forum.bionicturtle.com/threads/garp-2013-p2-practice-exam-question-7-garp13-p2-7.10494/
- [GARP 2016.P2.80] Countercyclical buffer confuses us in this question https://forum.bionicturtle.com/thre...on-vs-countercyclical-buffer.9429/#post-50397
- [GARP 2017 P2.10] Good catch of a RAROC calculation mistake by @bpdulog https://forum.bionicturtle.com/threads/garp-2017-p2-10.10340/
- [GARP 2017 P2.13] Sharp observation by @Groverman concerning cash-flow mapping https://forum.bionicturtle.com/threads/2017-question-13-garp17-p2-13.10472/
- [GARP 2017 P2.29] Key default probability definitions: cumulative versus conditional (aka, marginal) versus unconditional (aka, joint) https://forum.bionicturtle.com/threads/29-garp-2017-practice-exam.10504/
- Household Debt Makes a Comeback in the U.S. https://www.nytimes.com/2017/05/17/business/dealbook/household-debt-united-states.html “Households today are borrowing differently than they did nine years ago. Student loan debt, driven by soaring tuition costs, now makes up 11% of total household debt, up from 5% in the third quarter of 2008. By comparison, mortgage debt is 68% of total debt, down from 73% during the same period. Student borrowers today owe $1.3 trillion, more than double the $611 billion owed nearly nine years ago” And this WSJ article has a better chart (U.S. Household Debt Hit Record in First Quarter) http://trtl.bz/2rGgMqX
- Here’s Why the Fed Will Stay Central to Markets https://www.wsj.com/articles/some-f...ty-in-return-to-precrisis-playbook-1495364401
- China Pumps $24.7 Billion Into Financial System http://trtl.bz/2rGo5yP
- How Big Are Mutual Funds’ Puerto Rico Losses? $5.4 Billion https://www.wsj.com/articles/how-big-are-mutual-funds-puerto-rico-losses-5-4-billion-1494763205 “A diverse group of creditors will be competing for a limited pot of money, and allocating Puerto Rico’s resources will be complex because of the competing interests at stake … When Puerto Rico last tapped the bond market in March 2014, offering 8% interest, underwriters were flooded with orders from hedge funds and mutual funds for the junk-rated debt.”
- The Big Green Bang: how renewable energy became unstoppable (ft.com Big Read) http://trtl.bz/2rGzpes
- Cyberattack Victims Begin to Assess Financial Damage (The spread of WannaCry ransomware appears to be contained, but experts are wary of another flare-up) https://www.wsj.com/articles/cyberattack-spreads-though-at-slower-pace-1494835536
- For Many Companies, a Good Cyber Chief Is Hard to Find https://www.wsj.com/articles/for-many-companies-a-good-cyber-chief-is-hard-to-find-1494849600
- Computer Vision — The Impact on Financial Services https://hackernoon.com/computervision-ee192f917646
- Bond Buyers Forgive and Forget, Flock Back to Online Lenders’ Debt http://trtl.bz/2rIWixI “The next test of investor appetite for online offerings will be in coming weeks when LendingClub starts to market a roughly $400 million deal of bonds backed by loans it made to less creditworthy consumers, according to people familiar with the matter.”
- [BIS] FinTech credit: Market structure, business models and financial stability implications https://www.bis.org/publ/cgfs_fsb1.htm
- Transform Data by Example (new Excel add-in) https://www.microsoft.com/en-us/research/project/transform-data-by-example/
- xts Cheat Sheet: Time Series in R https://www.datacamp.com/community/blog/r-xts-cheat-sheet
- WolframScript: Run Your Code from Anywherehttp://blog.wolfram.com/2017/05/17/wolframscript-run-your-code-from-anywhere/
- [Free tutorial] An Introduction to Spatial Data Analysis and Visualisation in R https://data.cdrc.ac.uk/dataset/an-introduction-to-spatial-data-analysis-and-visualisation-in-r
- Quant Research in Tokyo: How to Join the Machines (Interview by Brian DeChesare) http://www.mergersandinquisitions.com/quant-research-jobs/
- Options, Futures, and Other Derivatives (Hull's 10th Edition has been released. I admit, I'm always excited to read the changes. As usual, it's an expensive book
) http://amzn.to/2rGcLCK New to This Edition: Chapter 7 has been rewritten to improve presentation and reflect changing market practices in relation to swaps; Chapter 9 has been added to cover valuation adjustments, such as CVA, DVA, FVA, MVA, and KVA; Chapter 31 provides details about equilibrium models of the term structure, which are widely used in long-term scenario analysis; Negative interest rates are now covered throughout the book to reflect a number of European and Asian markets; More detailed explanations give a fuller picture of the calculation of Greek letters and smile dynamics; Discussion of the expected shortfall measure and stressed risk measures has been expanded to reflect their increasing use in regulation and risk management; Increased coverage of the SABR model gives students a more firm grasp on stochastic volatility; Materials on CCPs and OTC derivative regulation includes the most current information; Examples have been revisited to reflect current market conditions; Improved material on martingales and measures, tailing the hedge, bootstrap methods, and convertible bonds helps students better understand important concepts; End-of-chapter problems have been expanded and revised.
- Can Artificial Intelligence Replace Risk Tolerance Questionnaires? http://wmtoday.com/2017/05/14/can-aibig-data-make-risk-tolerance-questionnaires-obsolete/
- Drones Go to Work by Chris Anderson https://hbr.org/cover-story/2017/05/drones-go-to-work
- FM Global Resilience Index http://www.fmglobal.com/research-and-resources/tools-and-resources/resilienceindex Press release http://trtl.bz/2rGvJJJ Three new resilience drivers: “Inherent cyber risk (reflects a country’s vulnerability to a cyber attack and its ability to recover), Urbanization rate (serves as a proxy for stress (on water supplies, power grids and other infrastructure) that would be exacerbated by natural disasters such as windstorms, flood and earthquakes), Supply chain visibility (reflects the ability to track and trace consignments across a country’s supply chain).”
- [GARP] Alice in IFRS-land: Frontloading and Negative Amortization in IFRS 16 [ie, capitalization of leased assets] http://trtl.bz/2ra2n9F
- Taxonomy of Uncertainty (medium.com) http://trtl.bz/2qHmlrM Refers to Andrew Lo’s paper (WARNING: Physics Envy May Be Hazardous To Your Wealth!) here at http://trtl.bz/0521-Lo-physics-envy
- Introduction to copulas Exercises (Part-2) http://www.r-exercises.com/2017/05/17/introduction-to-copulas-exercises-part-2/
- A continuous hinge function for statistical modeling http://andrewgelman.com/2017/05/19/continuous-hinge-function-bayesian-modeling/
- Insurance: Robots learn the business of covering risk (ft.com big read) http://trtl.bz/2rG1TF0 This is a good Big Read by FT.com on how artificial intelligence is disrupting insurance (e.g., selfies are more accurate than traditional methods a predicting life expectancy?!) in four key areas: life insurance, agricultural insurance, motor insurance, and overall industry.
- The Impact of Insurance on Claiming http://www.rms.com/blog/2017/05/16/the-impact-of-insurance-on-claiming/ “If insurance is in place, the loss will be higher than if there is no insurer. We see this effect in many areas of insurance, but now the “insurer effect” factor is becoming an increasing contributor to disaster losses.”
- A $1 Trillion Pain Trade in Treasuries Divides Top Bond Dealers http://trtl.bz/2r6vevs “[The Federal Reserve] alone financed roughly 40 percent of America’s budget deficit last year … in the next three years, over a trillion dollars worth of the Fed’s $2.5 trillion stockpile of Treasuries -- amassed over three rounds of quantitative easing -- will come due. The central bank also owns $1.77 trillion of mortgage-backed securities as a result of its QE program.” … [related] The consequences of shrinking the Fed’s balance sheet (Gavyn Davies at ft.com) http://trtl.bz/2r6DQ5b
- The New Bond Workouts http://blogs.harvard.edu/bankruptcyroundtable/2017/05/16/the-new-bond-workouts/
- What to Watch For in Analyzing Reinsurance Contracts http://analyzere.com/watch-analyzing-reinsurance-contracts/
- [ECB working paper] The importance of being special: repo markets during the crisis Paper here http://trtl.bz/2r9UdOn
- Maybe Buybacks Are Actually Kinda Dumb http://dealbreaker.com/2017/05/maybe-buybacks-are-actually-kinda-dumb/ Paper is here http://trtl.bz/2qPhtOF
- Americans' Savings Make Wealth Managers Rich https://www.bloomberg.com/view/articles/2017-05-16/americans-savings-make-wealth-managers-rich
- Sorting Luck From Skill by Larry Swedroe, Part 1 http://www.etf.com/sections/index-investor-corner/swedroe-sorting-luck-skill and Part 2 http://www.etf.com/sections/index-investor-corner/swedroe-skill-exists-its-hard-find
- The Case for Tactical Alpha, Part 1: [Grinold’s] Fundamental Law of Active Management Part 1 http://trtl.bz/2rGu9Yl and Part 2 http://trtl.bz/2rGm0Dh
- Marc Andreessen Answers the Tech Valuation Question (The venture capitalist says many investors don't grasp what's changed) http://trtl.bz/2r9MKii
- Bitcoin and the Art of Extortion http://trtl.bz/2rFzZZU “The logic is twisted but tempting. Hoarding Bitcoin to pay off hackers may seem a better option for companies that either don't or can't make the heavy investments needed to see off the attacks in the first place.”
- The Cryptocurrency Ecosystem: A New Benchmark Study http://www.allaboutalpha.com/blog/2017/05/16/the-cryptocurrency-ecosystem-a-new-benchmark-study/ Report is here http://trtl.bz/2qNzAXv
- How a Bitcoin Clone Helped a Company Raise $12 Million in 12 Minutes (wsj.com) http://trtl.bz/2rGaisl
- The currency of the future has a settlement problem (ft.com) http://trtl.bz/2rGmol5
Last edited:
