Category: Market Risk

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 (Market Risk section), we review this reading on “Parametric Approaches: Extreme Value Theory (EVT)”.

In this video from the FRM Part 2 curriculum, we take a look at a solved example covering the learning objective “Calculate the short-term rate change and describe the basis point volatility using the CIR and lognormal models.”

In this video we establish an equivalence between the two formulas to compute Expected Shortfall (ES) – the formula that computes it as a conditional expectation of losses, and the formula that computes it as an average of all loss quantiles whose associated probability exceeds the chosen confidence level.

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

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.

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.

In this short video from FRM Part 2 curriculum, we explore how variance swaps can be used to construct a long or short exposure on correlation.