Synthetic CDOs: Mechanics
1. Context In this video we explain the mechanics of Synthetic CDOs. For more information about the FRM Part 2 preparation course, please visit the course page. 2. Video
Covered Vs Uncovered Interest Rate Parity
In this video from the FRM Part 1 and CFA Level 2 curriculum, we take a comparative look at Covered Interest Rate Parity and Uncovered Interest Rate Parity.
Variance Swaps Explained
In this video from the FRM Part 1 and CFA Level 3 curriculum, we take a look at Variance Swaps and explore their mechanics and through a simple example how they can be put to use in practice.
Put Call Forward Parity for European Options
In this video from FRM Part 1, we explore an alternative version of the Put Call parity which is called the Put Call Forward parity – a no-arbitrage relationship between European option prices (of same strike and maturity), forward / futures price and present value of strike.
Reducing Monte Carlo Standard Error using Antithetic Variates
In this video from FRM Part 1 curriculum, we take a look a the antithetic variates technique to reduce the standard error of our Monte Carlo based estimator. This technique simulates the chosen variable as a pair of values – with the members of the pair having a negative dependence amongst themselves.
Wrong Way Risk: An Introduction
In this video from FRM Part 2 curriculum, we introduce this concept of Wrong Way Risk (WWR). A WWR situation is one in which there is a positive dependence between exposure and probability of default or equivalently, a negative dependence between exposure and credit quality.
What does the Autocorrelation vs Lag Plot (Correlogram) tell us?
In this video, we take a look at the information provided by the plot of Autocorrelation vs Lag (also called Correlogram). Such a plot provides a very handy visual tool to detect the type of process / specification followed by the time series (as per the Box Jenkins methodology).
Expected Shortfall for Uniform Distribution: Solved Example
In this video from FRM Part 1 curriculum, we calculate the Expected Shortfall for a continuous random loss variable that follows the Uniform Distribution. Along the way, we calculate the Value-at-Risk and also explore key properties of a uniformly distributed random variable.
Structural Vs Reduced Form Models of Credit Risk
In this video from the FRM Part 2 curriculum, we explore the differences between two broad categories of credit risk models: Structural Models and Reduced Form Models.
Formula Review for FRM Part 1 (Book 1)
In this video we review the formulas in Book 1 of the FRM Part 1 curriculum (Foundations of Risk Management). The formulas are sourced from two chapters: “The Standard Capital Asset Pricing Model” and “Multifactor Models and Arbitrage Pricing Theory”.