Hypothesis Testing: Null vs Alternate Hypothesis
In this video from FRM Part 1 Quantitative Analysis section, we construct an appropriate null hypothesis and alternative hypothesis and distinguish between the two.
VaR and ES using Historical Simulation
In this short video from FRM Part 1 curriculum, we take a look at how to use the Historical Simulation approach for estimating the Value-at-Risk (VaR) and Expected Shortfall (ES) for a portfolio.
VaR Mapping of Forward Rate Agreement
In this short video from FRM Part 2 curriculum, we take a look at how to map a long position in a T1xT2 Forward Rate Agreement onto a long position in a Zero Coupon Bond (ZCB) of maturity T1 and a short maturity in a ZCB of maturity T2.
Why do Futures and Forward Prices differ? A closer look
In this short video from FRM Part 1, we explore (rather closely and in detail) the reason why futures and forward prices differ.
Netting Factor: A Close Look
In this short video from FRM Part 2, we explore this concept of netting factor – a number used to gauge the extent of netting related benefits that have been realised.
Standard Brownian Motion / Wiener Process
In this video, we take a look at the Standard Brownian Motion (Wiener Process) – an important building block that we encounter in the four readings on Interest Rate Models (FRM Part 2, Market Risk).
Tailing the Hedge
In this short video from the FRM Part 1 curriculum, we explore this concept of “Tailing the Hedge”. It is defined as the reduction in the quantity of futures based hedge required, if you were to take into account the daily settlement feature.
Lognormal VaR: An alternative look
In this video from FRM Part 2, we explore this concept of lognormal VaR – we lay down the assumptions, perform a quick derivation and then solve a numerical example illustrating how lognormal VaR is calculated.
Using Derivatives for Speculation (Futures Vs Options Vs Spot)
In this video from FRM Part 1, we explore how speculators differ from hedgers and how the former can use derivatives to monetise their views about market variables.
Valuing Interest Rate Swaps: Offsetting Swap Method
In this video from FRM Part 1, we explore an alternative approach for valuing interest rate swaps – the offsetting swap method. We make ourselves familiar with the steps in this approach and then apply it to a simple solved example.