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”.
Vasicek Model Vs Cox Ingersoll Ross Model: A Comparison
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.
Marginal, Incremental and Component VaR: A Solved Example
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.
Random Walks and Unit Root Processes
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.
Credit Exposure Metrics (EE, PFE, EPE, ENE, EEE, EEPE) Explained
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.
Sample Moments: A Review
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.
Fx Swaps Explained
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).
Impact of Interest Rates on Vanilla Option Prices
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.
Extreme Value Theory (EVT): A Quick Review
In this video from FRM Part 2 curriculum (Market Risk section), we review this reading on “Parametric Approaches: Extreme Value Theory (EVT)”.