New YouTube
Risk
- Binomial option pricing model for equity index, currencies, and futures options (FRM T4-9) https://trtl.bz/2R7Vv5a
- Foreign currency hedges: on- and off-balance sheet (FRM T3-49) https://trtl.bz/2Mun5bY
- P1.T4.903. Spot, forward and par rates (Tuckman Ch. 2) https://trtl.bz/2FRM0Fc
- P2.T9.903. Machine Learning in Risk Management (van Liebergen) https://trtl.bz/2FKnhn1
- [P1.T2] The perimeter of a probability matrix contains unconditional probabilities https://trtl.bz/2WoCH5e
- [P1.T3] The formula for equity beta hedge with index futures contracts uses the target beta of the net portfolio https://trtl.bz/2MBTOfm
- [P1.T3*] Bond convexity dynamics https://trtl.bz/2DDo32O
- [P1.T4] An observant question about units in Tuckman's DV01-based regression hedge https://trtl.bz/2FRuMsa
- [P2.T5] Why you never need to interpolate the probability-threshold expected shortfall (ES) that always applies in the FRM (as opposed to the quantile-delimited ES which we never assume) https://trtl.bz/2FULar5
- [P2.T5] Thank you @Jaskarn for identifying an error in my interest rate tree calculations https://trtl.bz/2FSWDHL
- [P2.T5] Derivation of analytical formula for modified duration of par bond https://trtl.bz/2FK7zrZ
- [P2.T5] To what extent do the units (i.e., decimals versus percentages) matter in a Cox-Ingersoll-Ross (CIR) interest rate tree? https://trtl.bz/2FVodnW
- [P2.T5] In the backtest spreadsheet, why do I use (N(Z)*2-1)? https://trtl.bz/2FXGHUx
- [P2.T5*] Can we better understand the relationship between the implied volatility smile and option maturity? https://trtl.bz/2B6vZYy
- [P2.T5*] What is the decision rule for rejection in the VaR backest? https://trtl.bz/2B5qmKy
- [P2.T7] Dowd's Frechet GEV EVT formula is difficult to execute https://trtl.bz/2FKYi2W
- [P2.T7] Thank you @JulioFRM for noticing the difference between liquidity cost (LC) and liquidity value at risk (LVaR) https://trtl.bz/2FIhQF6
Risk
- [GARP] Geopolitical Risks on the Rise, World Economic Forum Finds https://trtl.bz/2FZ0LWN
- [GARP] Top 7 Risk Management Predictions for 2019 https://trtl.bz/2G5eknL
- [BIS] Operational risk standardized approach - Executive Summary https://www.bis.org/fsi/fsisummaries/oprisk_sa.htm
- Fundamental Review of the Trading Book (FRTB, a helpful EY update) https://trtl.bz/2CJXO9n
- FRTB: The evolution of market risk rules https://www.refinitiv.com/perspectives/regulation-risk-compliance/frtb-evolution-market-risk-rules/
- Big U.S. Banks Are Letting Stress Tests Make Decisions for Them https://trtl.bz/2CRmtbW
- New Survey Aims to Sharpen Understanding of Uncertainty (Altanta Fed) https://trtl.bz/2CPD9Ri
- Shifting Risks in the Bond Market https://awealthofcommonsense.com/2019/01/shifting-risks-in-the-bond-market/
- Scamming Grandma: Financial Abuse of Seniors Hits Record (Banks report 12% increase of suspected cases as they step up efforts to detect and stop fraud) https://www.wsj.com/articles/scamming-grandma-financial-abuse-of-seniors-hits-record-11548344907
- The New Hedge Fund Manager Flies Economy and Stays in Hostels https://trtl.bz/2G6IBmb
- [Professor Aswath Damodaran, an assigned author in the FRM syllabus] Data Update 4: The Many Faces of Risk! https://trtl.bz/2CP0Edf and Data Update 5: Hurdle Rates and Costs of Financing https://trtl.bz/2CP0Edf
- Yes, Algorithms Can be Biased. Here’s Why https://arstechnica.com/tech-policy/2019/01/yes-algorithms-can-be-biased-heres-why/
- Blockchain Trends To Watch In 2019 https://www.cbinsights.com/research/blockchain-trends-2019/
- Defense of the cyberrealm: How organizations can thwart cyberattacks (McKinsey podcast) https://trtl.bz/2UfNPzI
- Ten trends shaping the Internet of Things business landscape https://trtl.bz/2RPuBEl
- The market for cyber-insurance is growing (economist) https://trtl.bz/2G5Kz5U
- The Poisson Distribution and Poisson Process Explained (A straightforward walk-through of a useful statistical concept) https://trtl.bz/2RUWoTU
- Machine Learning Project: Predicting Boston House Prices With Regression https://trtl.bz/2G5JzPc
- Decision Trees — An Intuitive Introduction https://trtl.bz/2CQ7Bui
- Supervised Learning: Basics of Linear Regression https://trtl.bz/2CKGDV4
- Lessons for Corporate Boardrooms From Yahoo’s Cybersecurity Settlement https://trtl.bz/2CMBFav
- Financial Reporting in 2019: What Management and the Audit Committee Need to Know (Harvard Law) https://trtl.bz/2RWLfll
- Finalized ISS FAQ Updates on Compensation Policies and Equity Compensation Plans https://trtl.bz/2RRBSU4
- BlackRock's Data Leak Strikes 20,000 Advisers https://trtl.bz/2CYCs8r
- Millions of bank loan and mortgage documents have leaked online https://techcrunch.com/2019/01/23/financial-files/
- Global Warming Concerns Rise Among Americans in New Poll https://trtl.bz/2CQVwW5
- An Exclusive Look at the Companies Most Exposed to Climate Change Risk — and What They’re Doing About It (Barron's) https://trtl.bz/2RRCeKo
- What Insurers Think About Climate Change: Market Research Takeaways https://trtl.bz/2G1BfA4
- Wall Street Backlash Sinks Plan to Transform Swaps Market https://trtl.bz/2CP2s5L
- Life insurance product innovation: What insurers can learn from leading tech and consumer companies https://trtl.bz/2RWOcTf
- No Pay Stub? No Problem. Unconventional Mortgages Make a Comeback https://trtl.bz/2CYB05Z
- The Hybrid Skills That Tomorrow’s Jobs Will Require https://trtl.bz/2FNL851
- How Companies Secretly Boost Their Glassdoor Ratings https://trtl.bz/2CJDjcE
- The most inspirational story about risk management you will ever read https://trtl.bz/2CNzAeg
- [satire] In Defense of Risk Heat Maps https://www.linkedin.com/pulse/defence-risk-heat-maps-david-vose/ Clever irony! And then he followed-up with: The Maths of Risk Heat Maps Explained https://trtl.bz/2G15hnA