Category: Swatches

Capital Conservation Buffer Vs Countercyclical Buffer

In this video from the FRM Part 2 curriculum (Operational Risk section), we explore the differences between two buffers introduced as part of the Basel III guidelines – the Capital Conservation Buffer and Countercyclical Buffer.
Posted On:

Quantiles of Binomial Distribution – Solved Example

This video from FRM Part 1 curriculum does a solved example covering the learning objectives: “Distinguish the key properties and identify the common occurrences of the Binomial Distribution. Characterize the quantile function and quantile-based estimators.”
Posted On:

Cox Ingersoll Ross Model – Solved Example

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.”
Posted On:

CVA Calculation for Risky Bond – Solved Example

In this video from FRM Part II curriculum, we take a look at a solved example covering the LOS: “Calculate CVA and the CVA spread with no wrong-way risk, netting, or collateralization.”
Posted On:

Vasicek Model for Credit Risk Capital

In this video for FRM Part I and FRM Part II, we explore the Vasicek Model for determining the credit risk capital for a portfolio of loans.
Posted On:

One Sided Confidence Intervals

In this video from FRM Part 1 (Quantitative Analysis section), we explore the concept of a one-sided confidence interval – how such intervals are constructed and how they are used for the purpose of hypothesis testing.
Posted On: