Swatches Archives - Page 5 of 13

Bullet Strategy vs Barbell Strategy: A Relative Comparison

In this video from FRM Part 1 curriculum, we take a comparative look at the Bullet strategy and the Barbell strategy, how they are implemented and the relative advantages and disadvantages of each for different interest rate outlooks or forecasts.

White Noise: Independent and Gaussian

In this video from FRM Part 1 curriculum, we define a very important building block of any time series: white noise. We define white noise, explore it’s properties and distinguish between independent white noise and normal or Gaussian white noise.

Expected Shortfall: The Two Formulas

In this video we establish an equivalence between the two formulas to compute Expected Shortfall (ES) – the formula that computes it as a conditional expectation of losses, and the formula that computes it as an average of all loss quantiles whose associated probability exceeds the chosen confidence level.

Estimating VaR and ES using Hybrid Historical Simulation

In this multiple choice question, we explore how Hybrid historical simulation technique (that combines non-parametric historical simulation with parametric age-weighting) can be used to estimate VaR and Expected Shortfall of a portfolio.

Valuing Warrants using Black Scholes Formula: Solved Example

In this video from FRM Part I curriculum (Valuation and Risk Models section), we describe warrants, calculate the value of a warrant and calculate the dilution cost of the warrant to existing shareholders.

Fundamental Review of Trading Book (FRTB): A Quick Summary

In this video from FRM Part 2 curriculum (Market Risk section), we recap the key stipulations of Fundamental Review of Trading Book (FRTB).

Properties of Summations and Products

In this video we summarize key properties of summations, double summations and products – a quick recap of ubiquitous operations in the mathematics for finance.

Convexity Adjustment (Eurodollar Futures)

In this video that FRM Part I candidates will find of interest, we explore the concept of Convexity Adjustment as applied to Eurodollar Futures, the origins of this adjustment and how this adjustment can be determined.

Conditional Independence

In this topic taken from FRM Part 1 curriculum, we explore the concept of “Conditional Independence” and how it differs from (unconditional) independence.

Taylor Series Approximations (Solved Example)

In this solved example, we explore how Taylor Series approximations work and how they are applied to the world of finance. We do not do a rigorous and formal proof of Taylor Series expansions (approximations).