Category: Swatches

Formula Review for FRM Part 1 (Book 1)

In this video we review the formulas in Book 1 of the FRM Part 1 curriculum (Foundations of Risk Management). The formulas are sourced from two chapters: “The Standard Capital Asset Pricing Model” and “Multifactor Models and Arbitrage Pricing Theory”.
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Marginal, Incremental and Component VaR: A Solved Example

In this video from FRM Part 2 curriculum (Book 5, Investment Risk), we go through a solved example that helps review the definition, the formula and application of three types of VaR: Marginal VaR, Incremental VaR and Component VaR.
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Random Walks and Unit Root Processes

In this video from FRM Part 1 curriculum, we take a look at Random Walks and their generalizations which are Unit Root Processes. We compare the properties of Random Walks with stationary AR(1) processes.
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Sample Moments: A Review

In this video from FRM Part 1 curriculum, we do a quick review of the reading on Sample Moments (Book 2, Quantitative Analysis, Chapter 5). All learning objectives for this reading are covered.
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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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Extreme Value Theory (EVT): A Quick Review

In this video from FRM Part 2 curriculum (Market Risk section), we review this reading on “Parametric Approaches: Extreme Value Theory (EVT)”.
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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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