Category: Market Risk

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.

In this short video, we take a detailed look at Quantile-Quantile (QQ) Plots – how to interpret them, and use them to identify the correct distribution and/or outliers in the dataset.

In this short video from FRM Part 2 curriculum, we differentiate between two categories of Term Structure Models – ‘Arbitrage Free’ models and ‘Equilibrium Models’.

In this short video from FRM Part 2 curriculum, we try and differentiate between basis point volatility and yield volatility.

In this short video from FRM Part 2 curriculum, we explore what quanto options are, their payoff and mechanics and their sensitivity (risk) with respect to fx-equity correlation.

In this short video from FRM Part 2 curriculum, we explore the Jensen’s Inequality and what it implies for linear, convex and concave functions.

In this short video, we take a look at the impact of a single jump in the underlying stock price on the observed behavior of implied volatility vs strike profile for vanilla options traded on this stock.