How do you risk manage portfolios that contain financial derivatives?
These classes are all based on the book Trading and Pricing Financial Derivatives, available on Amazon at this link. https://amzn.to/2WIoAL0 Check out our website http://www.onfinance.org/ Follow Patrick on twitter here: https://twitter.com/PatrickEBoyle Derivatives are specific types
From playlist Risk Management
QRM 9-1: Market risk and historical simulation
Welcome to Quantitative Risk Management (QRM). It is time to introduce market risk, and to start considering how we can assess and hedge it according to the Basel regulations. We will see that VaR and ES are the main quantities we will use, but we know that they need a loss distribution t
From playlist Quantitative Risk Management
What is the biggest emerging threat for financial institutions?
RiskMinds Website - http://www.informaglobalevents.com/ytrmvidep We ask a selection of industry leaders their thoughts on what some of the biggest emerging threats are, as they see them, for financial institutions in the current climate.
From playlist Innovation and disruption: Causing ripples in risk
Risk Management Lesson 9A: Historical Simulation for Market Risk
In this first part of Lesson 9, we deal with Historical Simulation for Market Risk under the Basel Framework. Topics: - Market Risk: basic definition - Historical Simulation, how does it work? - The Procyclicality of VaR - Example of Historical Simulation Link to the Excel file about His
From playlist Risk Management
QRM L1-1: The Definition of Risk
Welcome to Quantitative Risk Management (QRM). In this first class, we define what risk if for us. We will discuss the basic characteristics of risk, underlining some important facts, like its subjectivity, and the impossibility of separating payoffs and probabilities. Understanding the d
From playlist Quantitative Risk Management
Risk Management Lesson 5A: Value at Risk
In this first part of Lesson 5, we discuss Value-at-Risk (VaR). Topics: - Definition of VaR - Loss distribution and confidence level - The normal VaR
From playlist Risk Management
What's the main mistake that risk managers are making with conduct risk and compliance?
Peter Tyson, Head Of Conduct & Compliance, Standard Life, explains the key mistakes that risk managers are making with conduct and compliance at RiskMinds Insurance 2016.
From playlist Insurance risk: Predict risk in an unpredictable world
What is Value at Risk? VaR and Risk Management
In todays video we learn about Value at Risk (VaR) and how is it calculated? Buy The Book Here: https://amzn.to/37HIdEB Follow Patrick on Twitter Here: https://twitter.com/PatrickEBoyle What Is Value at Risk (VaR)? Value at risk (VaR) is a calculation that aims to quantify the level of
From playlist Risk Management
Risk Management Lesson 4A: Volatility
First part of Lesson 4. Topics: - Definitions of volatility - Basic assumptions (do they hold?) - Arch and G-arch models (brief overview)
From playlist Risk Management
Capital market line (CML) versus security market line (SML), FRM T1-8
The CML contains ONLY efficient portfolios (and plots return against volatility; aka, total risk) while the SML plots any portfolio (and plots return against beta; aka, systematic risks) including inefficient portfolios. [here is my xls https://trtl.bz/2Fru70r] 💡 Discuss this video here i
From playlist Risk Foundations (FRM Topic 1)
MIT 15.401 Finance Theory I, Fall 2008 View the complete course: http://ocw.mit.edu/15-401F08 Instructor: Andrew Lo License: Creative Commons BY-NC-SA More information at http://ocw.mit.edu/terms More courses at http://ocw.mit.edu
From playlist MIT 15.401 Finance Theory I, Fall 2008
Webinar: Transferrable Lessons Between Insurance And Investment Risk Management
Differences in risk management techniques exist between insurance markets and investment markets. Morton Lane, Director Master of Science in Financial Engineering, University of Illinois at Urbana-Champaign discusses this in more detail in this webinar ahead of his session at RiskMinds Int
From playlist Insurance risk: Predict risk in an unpredictable world
The SML is a general CML (informal FRM tip series)
A forum member asked me this great question; "If the CML plots well-diversified portfolios, and well-diversified portfolios have no idiosyncratic risk, then isn't the CML also a plot of systematic risk (aka, beta)? Put another way, doesn't the CML already map to the SML?" My response is he
From playlist FRM technical
RAPMs: Treynor, Jensen's, Sharpe (FRM T1-10)
Risk-adjusted performance measures (RAPMs) include Treynor and Jensen's, both of which are functions of the CAPM/SML, and the Sharpe ratio, which can be understood in the context of the CML. [Here is my the spreadsheet I used for this video, please let me know if you have any questions htt
From playlist Risk Foundations (FRM Topic 1)
Twenty second SIAM Activity Group on FME Virtual Talk Series
Join us for a series of online talks on topics related to mathematical finance and engineering and running every two weeks until further notice. The series is organized by the SIAM Activity Group on Financial Mathematics and Engineering. Date: Thursday, October 7, 2021, 1PM-2PM Speaker
From playlist SIAM Activity Group on FME Virtual Talk Series
Risk Management Lesson 2A: CAPM and the Greeks
First part of the second lesson. Topics: - Capital Asset Pricing Model (CAPM) - Quick review of markets and financial products - The Greeks (first part)
From playlist Risk Management
Excel Finance Class 110: Security Market Line (SML) & Capital Asset Pricing Model (CAPM)
Download Excel File: https://people.highline.edu/mgirvin/YouTubeExcelIsFun/Busn233Ch11.xlsx Download PowerPoints: https://people.highline.edu/mgirvin/YouTubeExcelIsFun/Busn233ch11.pptx Learn about the Security Market Line (SML) & Capital Asset Pricing Model (CAPM).
From playlist Excel Finance Free Course at YouTube. Cash Flow Analysis and Model Building (110 Videos).
Low Default Portfolios (Part 1)
A Low Default Portfolio (LDP) is a portfolio characterized by a low number of defaults. Too simple? Citing the BCBS (Basel Committee on Banking Supervision): Several types of portfolios may have low numbers of defaults. For example, some portfolios historically have experienced low numb
From playlist Topics in Credit Risk Modelling