Credit Value Adjustment (CVA) for a Zero Coupon Bond (ZCB)
In this short video, we explore various routes to arrive at the relation for computing the Credit Value Adjustment (CVA) for a Zero Coupon Bond (ZCB).
Increasing the Power of a VaR Backtest
In this short video, we explore the concept of power of a VaR backtest and then further, look at ways of improving the power.
VaR Mapping of Option Positions
In this short video, we explore a basic mapping of European options (calls or puts) onto appropriate positions in underlying stock and dollar bills / zero coupon bonds.
Valuing Call Options on Bonds: Replication vs Risk-Neutral
In this short video, we explore two methods for valuing call options on bonds – risk neutral valuation and replicating portfolio approach.
Default Probabilities from Observed Rates and Spreads
In this short video, we play around with observed yields (for risk-free and risky securities), and imply from them default probabilities for the risky security.
Pricing a Bond: Replication vs Bootstrapping
In this short video, we take a comparative look at two valuation approaches for finding fair value of a fixed income instrument – replicating portfolio approach vs using rates recovered via bootstrapping.
Delta of an At-The-Money (ATM) Option
In this short video, we use the results that we already know – results from Quantitative Analysis section and from readings on Black Scholes Model and it’s Greeks to reason out the delta for an at-the-money call and put option.
Valuing Cross Currency Swaps: Equivalence of Bond & Fx Forward Methods
In this short video, we take an example of valuing a Cross Currency Swap, and perform this valuation via two approaches: the Bond Method and the Fx Forward Method.
Valuing Interest Rate Swaps: Equivalence of Bond & FRA Methods
In this short video, we take an example of valuing an Interest Rate Swap, and perform this valuation via two approaches: the Bond Method and the FRA Method.
Should I appear for both FRM Exam Part I and Part II together?
If you are a FRM Exam candidate currently weighing in the decision of whether to appear for both parts of the exam together on the same day, then the following few pointers might come in handy.