Logo image MENU
  • Blog
  • Testimonials
  • FRM Exam Part I
  • Logo image
  • FRM Exam Part II
  • Contact Us
  • Sign in

Category: Swatches

Potential Future Exposure and Expected Exposure: A Derivation

In this swatch, for candidates who are interested in venturing into the math behind the formulas, we present a derivation of the Potential Future Exposure (PFE) and Expected Exposure (EE) formulas.
Posted On: December 8, 2017

Durations: Effective, Macaulay, Modified, Dollar

In this swatch, we take a comparative look at various types of duration – Effective Duration vs Macaulay Duration vs Modified Duration vs Dollar Duration.
Posted On: December 7, 2017

Copulas: An Introduction

In this swatch, we introduce copulas – a topic that makes an appearance in FRM Part 1 curriculum and then re-appears in much more detail (along with applications) in FRM Part 2.
Posted On: July 17, 2017

Theories of Interest Rate Term Structures

In this swatch, we take a look at three proposed theories of why interest rates have term structures i.e. they are not flat or constant.
Posted On: August 23, 2016

Duration, DVO1, Maturity and Coupon (FRM Part 1)

In this swatch, we look at a graphical analysis of how first-order yield based risk metrics (Duration and DVO1) vary with characteristics of the instrument (mainly maturity and coupon).
Posted On: July 12, 2016

VaR: Impact of Confidence Level and Horizon (FRM Part 1)

Here, we look at what impact the choice of two important parameters: confidence level and horizon have the magnitude of VaR.
Posted On: July 8, 2016

Difference between Beta and Volatility (FRM Part 1, Part 2)

In this swatch, we look at the difference between beta and volatility (or standard deviation) of a security as measures of risk.
Posted On: July 8, 2016

Currency Swaps: Valuation Approaches (FRM Part 1)

Here, we look at currency swaps – their mechanics and valuation approaches both as positions in bonds and using currency forwards.
Posted On: July 2, 2016

VaR Mapping: Forward Contracts (FRM Part 2)

In this swatch we look at the topic of VaR mapping, applied to currency forward, mapped on spot, domestic currency bond and foreign currency bond.
Posted On: June 25, 2016

Distributions: A Compendium (FRM Part 1)

Here is a quick summary of Binomial, Poisson, Uniform, Exponential, Normal, Student’s t, Chi-Squared, F-Distribution distributions for FRM Exam.
Posted On: June 22, 2016
  • ←
  • 1
  • …
  • 10
  • 11
  • 12
  • 13
  • →

Swatches

  • Credit Risk (14)
  • Financial Markets and Products (28)
  • Foundations of Risk Management (4)
  • Investment Management (6)
  • Liquidity and Treasury Risk (3)
  • Market Risk (26)
  • Mathematics for Finance (2)
  • Operational Risk (3)
  • Quantitative Analysis (23)
  • Valuation and Risk Models (26)
finRGB Logo
  • © finRGB
  • Terms and Conditions
  • Facebook
  • YouTube