Swatches Archives - Page 6 of 13

Credit Risk: Regulatory and Economic Capital (Solved Example)

In this solved example taken from FRM Part 1 curriculum, we explore why equity capital as a buffer against credit losses and we estimate the capital required both from regulatory perspective (i.e. regulatory capital) and internal perspective (i.e. economic capital).

VaR with Multiple Risk Factors

In this video from FRM Part 2 curriculum, we take a look at how VaR can be calculated for a position / portfolio that is exposed to multiple risk factors.

Binomial Option Pricing Model: Three Approaches

In this video from FRM Part 1 curriculum, we take a look at the Binomial option pricing model using a simple solved example.

What is Model Risk?

In this video from FRM Part 2 curriculum, we take a look at what is model risk and how model risk arises in the implementation of a model.

Liquidity Adjusted VaR: Solved Example

In this video from FRM Part 2 curriculum, we employ a solved example to explain and calculate liquidity trading risk via cost of liquidation and liquidity adjusted VaR (LVaR).

Liquidity Risk Reporting: Deposit Tracker Report

In this video from FRM Part 2 curriculum (Liquidity and Treasury Risk section), we focus on exploring and interpreting the deposit tracker report.

Futures Markets Order Types

In this video from FRM Part 1 curriculum, we explain various trading order types, distinguish between them and explore their impact.

Enterprise Risk Management vs Traditional Risk Management

In this video from FRM Part 1 curriculum, we describe Enterprise Risk Management (ERM) and compare an ERM program with a traditional silo-based risk management program.

Hypothesis Testing: Null vs Alternate Hypothesis

In this video from FRM Part 1 Quantitative Analysis section, we construct an appropriate null hypothesis and alternative hypothesis and distinguish between the two.

VaR and ES using Historical Simulation

In this short video from FRM Part 1 curriculum, we take a look at how to use the Historical Simulation approach for estimating the Value-at-Risk (VaR) and Expected Shortfall (ES) for a portfolio.