In this video from the FRM Part 2 curriculum, we take a comparative look at two one factor short term interest rate models: the Vasicek Model and the Cox Ingersoll Ross (CIR) Model.
In this video from FRM Part 2 curriculum (Book 5, Investment Risk), we go through a solved example that helps review the definition, the formula and application of three types of VaR: Marginal VaR, Incremental VaR and Component VaR.
In this video from FRM Part 1 curriculum, we take a look at Random Walks and their generalizations which are Unit Root Processes. We compare the properties of Random Walks with stationary AR(1) processes.
In this video from FRM Part 2 curriculum, we try and understand various metrics used to quantify credit exposure, specifically PFE, EE, EPE, ENE, EEE and EEPE.
In this video from FRM Part 1 curriculum, we do a quick review of the reading on Sample Moments (Book 2, Quantitative Analysis, Chapter 5). All learning objectives for this reading are covered.
In this video from FRM Part 1 and FRM Part 2 curriculum, we explore the mechanics of FX swaps, how they work, how they can be intuitively decomposed into simpler instruments and how they can be used in practice (as a way of funding an asset denominated in foreign currency by paying interest in the domestic currency).
In this video from FRM Part 1 and CFA Level 1 curriculum, we take a look at how interest rates impact option prices i.e. premiums of European Calls and Puts.
In this video from FRP Part 1 and CFA Level 1 curricula, through a solved example, we take a look at how bond pricing works when settlement date is somewhere between coupon dates. We calculate the dirty price, clean price and accrued interest on a given settlement date.