Swatches Archives - Page 12 of 13

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.

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.

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.

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.

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).

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.

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.

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.

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.

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.