Blog Week in risk (November 4th)

[David Harper CFA FRM]

In the forum (selected only)

• [new FAQ] What is the relevance of End of Chapter Questions from the source readings? https://trtl.bz/2q5wbkZ
• [GARP P1] Thank you @ag0511 for your "FRM Part 1 Examination tips" https://forum.bionicturtle.com/threads/frm-part-1-examination-preparation-tips.14023/
• [GARP P1] Kudos to @kchristo for noticing a new mistake introduced into the duration application when GARP fixed a previous error https://trtl.bz/2Q5N7Dh
• [GARP P2] The role of the optional Basel readings https://trtl.bz/2Q20AvW
• [GARP P1 & P2] Wil the 2018 books be usable for the 2019 syllabus? https://trtl.bz/2qmT43B
• [BT FRM] A variation Q&A on a typical question that is asked by customers: Is this do to expand our understanding and help us get more comfortable with the topic, or do you think we should expect a question like this on the exam? https://trtl.bz/2QkDiS3
• [P1.T1] Wouldn't imputed correlations between positions prior to a stress period be a case of mis-measurement? https://trtl.bz/2Qg5OUS
• [P1.T2] Properties of an MA(1) process https://trtl.bz/2Q9HKmU
• [P1.T2] Understanding degrees of freedom (df) for the F-ratio used to test the joint null hypothesis https://trtl.bz/2Q4MQRg
• [P1.T2] Joint versus conditional versus unconditional probability https://trtl.bz/2qkxuwx
• [P1.T2] How to retrieve correlation from a probability matrix https://trtl.bz/2qoSgv0
• [P1.T2] Interpretation of a partial slope coefficient in a multivariate linear regression https://trtl.bz/2qlxJr8
• [P1.T2] Sorting out the seemingly endless variations on the F-statistic https://forum.bionicturtle.com/threads/f-statistic-formula-variations.21735/
• [P1.T2] An FRM candidate should know how to calculate variance and skew of a simple random variable https://trtl.bz/2qq0LWJ
• [P1.T2] An FRM candidate should know how to manipulation a probability matrix https://trtl.bz/2qupf1e
• [P1.T2*] If we are hedging exposure over the next three months, why does the maturity of the futures contract (e.g., four months) seem to have no effect on the optimal hedge trade? https://trtl.bz/2QoNY2o
• [P1.T3] How does the switch from LIBOR to an overnight indexed swap (OIS) rate change the valuation of a vanilla interest rate swap? https://trtl.bz/2R95ibu
• [P1.T3*] I‘d be very Interested to see a non-excel example of how to calculate a CF if the Maturity After rounding down is the „Harder case“, https://trtl.bz/2Q5L81N
• [P1.T3] You do want to be fluent in compound frequency translations, here is an example with forward rates https://trtl.bz/2qsuVbZ
• [P1.T3] What is a compound[ing] swap? https://trtl.bz/2Q1ZlNi
• [P1.T3] Understanding the addition/subtraction of accrued interest (AI) in the theoretical price of a treasury bond futures contract https://trtl.bz/2PZacYd
• [P1.T3] Margin requirements on naked options https://trtl.bz/2Q5ysbm
• [P1.T3] Thank you @Amarnadh D for the day count basis calculator tip! https://trtl.bz/2Q4yj7Y
• [P1.T3] Solving for the LIBOR forward rate given the swap rate https://trtl.bz/2Q7tlHw
• [P1.T3] Understanding barrier options https://trtl.bz/2qvnpNH
• [P1.T3] Inferring expected price appreciation in the cost of carry model https://trtl.bz/2qlf2UE
• [P1.T4] Why does the scaling square root rule (SRR) overstate annual volatility (from a daily volatility assumption)? https://trtl.bz/2qne1vr
• [P1.T4] Does the Taylor Series matter? https://trtl.bz/2q6QTB0
• [P1.T4] Are there different methodologies for value at risk (VaR) and expected shortfall (ES)? https://trtl.bz/2q5iD9a
• [P1.T4] Black-Scholes riskless rate assumption and Implied volatility interpolation https://trtl.bz/2Q2n2oF
• [P1.T4] Understanding the role of accrued interest the cash settlement price of a bond https://trtl.bz/2Q3RQp0
• [P1.T4] You can find the full (aka, cash) price at settlement either by compounding forward from the last coupon, or by discounting back from the next coupon https://trtl.bz/2Q7tCKy and this same issue came up again here https://trtl.bz/2qrIQ1Y
• [P1.T4] An essential difference between modified and Macaulay duration https://trtl.bz/2QiHuSw
• [P1.T4] An FRM candidate definitely wants to understand the difference between a percentage Greek and a position Greek (e.g., position delta) https://trtl.bz/2Qkgcey
• [P1.T4] My mucked-up key rate '01 (KR01) is hopefully at least instructive of the nuances involved https://trtl.bz/2QhzTn3
• [P2.T5] The elegant derivation of joint default probability is possible because default is a Bernoulli https://trtl.bz/2Q9HAvO
• [P2.T5] Can we simply the guidance around choosing a one- versus two-tailed deviate; e.g., 1.65 versus 1.96 https://trtl.bz/2q52bpx
• [P2.T5] Thank you @Buglia for correcting my mistake when commenting on the upper bound of the VaR backtest confidence interval https://trtl.bz/2Q5MWYD
• [P2.T5] Good observation by @ddfcrystal in regard to value at risk (VaR) under P(+)/L(-) versus L(+)/P(-) https://trtl.bz/2Q5zowo
• [P2.T5] Why an interest rate tree doesn't directly display N-period volatility https://trtl.bz/2Q3Wwey
• [P2.T5] Understanding transposition, post- and pre-multiplication in the matrix calculation of portfolio variance https://trtl.bz/2Q4FRYu
• [P2.T5] Should we assume Basel's methodological assumptions in a VaR backtest? https://trtl.bz/2QbVrlj
• [P2.T5] How is Jorion measuring the variance improvement in a tracking portfolio? https://trtl.bz/2qrIybo
• [P2.T5] How might we map (as in VaR mapping) an interest rate swap immediately AFTER the reset date? https://trtl.bz/2qpxhs3
• [P2.T5*] How can mapping be a solution to the problem of stale prices? https://trtl.bz/2qr6hZ9
• [P2.T6] Understanding the influence of volatility on subordinated debt https://trtl.bz/2Q0uDUY
• [P2.T6] I'm not entirely sure why our question 417.3 on the bilateral credit value adjustment (BCVA) is well-liked; e.g., "I am glad I saw it before the exam" https://trtl.bz/2Q3WN14
• [P2.T6] Understanding the Hypothetical Collateral Amount: MAX(MTM - Threshold_C, 0)-MAX(-MTM - Threshold_I, 0) https://trtl.bz/2qlW7Ju
• [P2.T7] Does it double-count to include both an exogenous and endogenous component in liquidity-adjusted value at risk (VaR)? https://trtl.bz/2R7A9oI
• [P2.T7] Value at risk (VaR) under extreme value theory (EVT) are based on Dowd's peak-over-threshold (POT) and block maxima (GEV) approaches https://trtl.bz/2RaMJDU
• [P2.T7] Understanding the adjusted credit risk weights (RWA) under the simple approach to collateral https://trtl.bz/2qjSio6
• [P2.T7] The exam does like to query whether regulatory capital rules incorporate diversification (aka, imperfect correlation) benefits https://trtl.bz/2QkOLRK
• [P2.T8] Firm leverage from the perspective of market turnover https://trtl.bz/2q5hvCs

External

Banking and Regulation

• [BIS] Fifteenth progress report on adoption of the Basel regulatory framework https://www.bis.org/bcbs/publ/d452.htm
• [BIS] The G-SIB framework - Executive Summary https://www.bis.org/fsi/fsisummaries/g-sib_framework.htm
• [BIS] BIS publishes a monthly newsletter, here is November's https://trtl.bz/2quw2Ii
• [GARP] From FICO, a National Cyber Risk Score https://trtl.bz/2QeRwUt
• [GARP] CECL Readiness: The Road Ahead https://trtl.bz/2Ql11lo
• Banks Struggle With Global Payments That Look Easy for Venmo https://trtl.bz/2qtdFU7
• A Giant Pile of Money (How Wall Street Drove Public Pensions Into Crisis and Pocketed Billions in Fees) https://theintercept.com/2018/10/20/public-pensions-crisis-wall-street-fees/
• The U.S. Secretly Halted JPMorgan’s Growth for Years https://trtl.bz/2qsbsIn

Risk

• How the Nature of Risk Is Changing http://insurancethoughtleadership.com/how-the-nature-of-risk-is-changing/
• RIMS ERM 2018: Earning the Mandate and a Seat at the Table https://trtl.bz/2quNQmw
• Checklist: 10 guiding principles for effective use of risk data http://blogs.worldbank.org/opendata/checklist-10-guiding-principles-effective-use-risk-data
• Talking about risk and opportunity (Norman Marks) https://normanmarks.wordpress.com/2018/10/26/talking-about-risk-and-opportunity/. This is a good (if not profound) question for risk managers, I think
• Reputation Risk Management (lynda.com!) https://trtl.bz/2quOOza
• Notepad: Risk in Review – November http://www.rmmagazine.com/2018/11/01/notepad-risk-in-review-november-2/
• [FRM] 50 Years of put-call parity http://www.allaboutalpha.com/blog/2018/11/01/50-years-of-put-call-parity/
• [FRM] Nominal exchange rate dynamics and monetary policy: Uncovered interest rate parity and purchasing power parity revisited https://voxeu.org/article/uncovered-interest-rate-parity-and-purchasing-power-parity-revisited

Climate

• The Oceans Are Heating Up Faster Than Expected https://www.scientificamerican.com/article/the-oceans-are-heating-up-faster-than-expected/ and WP on the same https://trtl.bz/2qp05B4

Quantitative

• Building a Logistic Regression in Python https://trtl.bz/2qtGCiM
• The Binomial Theorem Explained with a special splash of Pascal’s Triangle https://medium.com/i-math/the-binomial-theorem-explained-6464f41e5268
• 29 Statistical Concepts Explained in Simple English - Part 1 https://trtl.bz/2qszNhn

Governance

• Commonsense Principles 2.0: A Blueprint for U.S. Corporate Governance (Harvard Law)? https://trtl.bz/2qsG10D
• The Law Office (LO) and Compliance Officer (CO): Status, Function, Liabilities, and Relationship https://trtl.bz/2qub1Ny
• The ISS Equity Plan Scorecard https://corpgov.law.harvard.edu/2018/10/31/the-iss-equity-plan-scorecard/

Cyber

• Introducing Our Probabilistic Model for Cyber Risk in ARC https://www.air-worldwide.com/Blog/Introducing-Our-Probabilistic-Model-for-Cyber-Risk-in-ARC/
• Managing Corporate Spreadsheet Risks http://www.rmmagazine.com/2018/11/01/managing-corporate-spreadsheet-risks/

Career

• 4 Analytics Concepts Every Manager Should Understand https://hbr.org/2018/10/4-analytics-concepts-every-manager-should-understand
• New technology, new rules: Reimagining the modern finance workforce https://trtl.bz/2quOu3q

Data Science

• Overcome Your Biases with Data https://trtl.bz/2QhJfzb
• Gaussian Processes for Little Data https://trtl.bz/2qr4GTf
• Reproducible Finance, the book! https://www.linkedin.com/pulse/reproducible-finance-book-jonathan-regenstein/
• UC Berkeley’s Fastest-Growing Class Is Data Science 101 (University creates a division to study the science of mining digital information; ‘It feels like a revolution’) https://trtl.bz/2quvemI

Personal Finance

• The New Rules of Personal Finance (medium.com members) https://trtl.bz/2quwh6a
• The New Retirement Plan: Save Almost Everything, Spend Virtually Nothing https://trtl.bz/2qtF7RG

 

[hazelmark760]

Glad to know.