Category: Financial Markets and Products

Expected Return of a Defaultable Zero Coupon Bond

Yield isn’t always what you earn. In credit-risky bonds, default risk drives a wedge between yield and expected return. This video walks through a simple yet rigorous example of a defaultable zero-coupon bond, showing how to compute expected return — and why it often falls short of the promised yield.
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Arbitrage Explained: Value Additivity vs. Dominance

In this video, we break down two key types of arbitrage—Value Additivity and Dominance—using simple, intuitive examples. Learn how pricing inconsistencies can lead to risk-free profit opportunities, a concept every FRM candidate should master. Perfect for those studying arbitrage or prepping for the Financial Risk Manager exam.
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Understanding the Concept of Riding the Yield Curve

This video explains how a bond can earn a higher return even if interest rates remain unchanged — through a concept known as “riding the yield curve.” Using a simple six-year coupon bond and spot rate term structures, we walk through step-by-step valuation and highlight how changes (or the lack thereof) in the yield curve impact bond prices and holding period returns.
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Covered Vs Uncovered Interest Rate Parity

In this video from the FRM Part 1 and CFA Level 2 curriculum, we take a comparative look at Covered Interest Rate Parity and Uncovered Interest Rate Parity.
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Variance Swaps Explained

In this video from the FRM Part 1 and CFA Level 3 curriculum, we take a look at Variance Swaps and explore their mechanics and through a simple example how they can be put to use in practice.
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Put Call Forward Parity for European Options

In this video from FRM Part 1, we explore an alternative version of the Put Call parity which is called the Put Call Forward parity – a no-arbitrage relationship between European option prices (of same strike and maturity), forward / futures price and present value of strike.
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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).
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Bond Pricing: Dirty Price, Clean Price and Accrued Interest

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.
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