Valuation and Risk Models Archives - Page 3 of 3

Delta of an At-The-Money (ATM) Option

In this short video, we use the results that we already know – results from Quantitative Analysis section and from readings on Black Scholes Model and it’s Greeks to reason out the delta for an at-the-money call and put option.

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.

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.

Approximate Method for Pricing ATM Options (FRM Part 1)

In this swatch, we look at a quick and easy way of finding the price and implied volatility for an at-the-money (ATM) option.

Credit Risk: Expected and Unexpected Losses (FRM Part 1)

In this short video, we take a look at a very simple credit risk formulation that models default as a one-step Bernoulli trial.