Blog - Page 5 of 13

Estimating VaR and ES using Hybrid Historical Simulation

In this multiple choice question, we explore how Hybrid historical simulation technique (that combines non-parametric historical simulation with parametric age-weighting) can be used to estimate VaR and Expected Shortfall of a portfolio.

Valuing Warrants using Black Scholes Formula: Solved Example

In this video from FRM Part I curriculum (Valuation and Risk Models section), we describe warrants, calculate the value of a warrant and calculate the dilution cost of the warrant to existing shareholders.

Fundamental Review of Trading Book (FRTB): A Quick Summary

In this video from FRM Part 2 curriculum (Market Risk section), we recap the key stipulations of Fundamental Review of Trading Book (FRTB).

Properties of Summations and Products

In this video we summarize key properties of summations, double summations and products – a quick recap of ubiquitous operations in the mathematics for finance.

Convexity Adjustment (Eurodollar Futures)

In this video that FRM Part I candidates will find of interest, we explore the concept of Convexity Adjustment as applied to Eurodollar Futures, the origins of this adjustment and how this adjustment can be determined.

Conditional Independence

In this topic taken from FRM Part 1 curriculum, we explore the concept of “Conditional Independence” and how it differs from (unconditional) independence.

Taylor Series Approximations (Solved Example)

In this solved example, we explore how Taylor Series approximations work and how they are applied to the world of finance. We do not do a rigorous and formal proof of Taylor Series expansions (approximations).

Credit Risk: Regulatory and Economic Capital (Solved Example)

In this solved example taken from FRM Part 1 curriculum, we explore why equity capital as a buffer against credit losses and we estimate the capital required both from regulatory perspective (i.e. regulatory capital) and internal perspective (i.e. economic capital).

VaR with Multiple Risk Factors

In this video from FRM Part 2 curriculum, we take a look at how VaR can be calculated for a position / portfolio that is exposed to multiple risk factors.

Binomial Option Pricing Model: Three Approaches

In this video from FRM Part 1 curriculum, we take a look at the Binomial option pricing model using a simple solved example.