FRM: Interest rate swap
This illustrates how an interest rate swap can transform a floating-rate obligation into a fixed-rate obligation and vice-versa.
From: Bionic Turtle
Added: 18 years ago
Views: 171,273
18,018 ratings
Results for “Bionic Turtle” · 2008
About 318 results
FRM: Correlation & Covariance
Covariance is a measure of relationship (or co-movement) between two variables. Correlation is just the translation of covariance ...
From: Bionic Turtle
Added: 18 years ago
Views: 271,574
2,895 ratings
FRM: Volatility approaches
Lots of ways to estimate volatility. In this map, I parse out implied volatility (forward looking) and deterministic (constant) and focus ...
From: Bionic Turtle
Added: 18 years ago
Views: 51,537
36,632 ratings
FRM: Credit default swap (CDS)
A CDS is a bilateral contract between two counterparties. The protection buyer is buying insurance: he/she pays premiums in ...
From: Bionic Turtle
Added: 18 years ago
Views: 101,996
22,789 ratings
FRM: Implied volatility
Using the market price for an option on Google's stock, I use Excel's GOAL SEEK function to estimate implied volatility. Implied ...
From: Bionic Turtle
Added: 18 years ago
Views: 108,631
34,199 ratings
FRM: What is a securitization?
A securitization is a structured finance with three ingredients: 1. Pooled credit-sensitive assets; 2. Transfer of credit risk; 3.
From: Bionic Turtle
Added: 18 years ago
Views: 47,918
23,378 ratings
FRM: Forward rate agreement (FRA)
An FRA is a contract that lets the buyer (who is long the rate) lock-in an interest (borrowing) rate. In this example, the FRA buyer ...
From: Bionic Turtle
Added: 18 years ago
Views: 115,701
4,186 ratings
FRM: Unexpected loss (UL) of credit asset
A review of Michael Ong's unexpected loss (UL) for a single credit-asset. First, I briefly compare the various definitions of ...
From: Bionic Turtle
Added: 18 years ago
Views: 29,278
24,813 ratings
FRM: Risk-adjusted return on capital (RAROC)
RAROC is a risk-adjusted performance measure (RAPM): risk-adjusted return divided by economic capital (i.e., the capital ...
From: Bionic Turtle
Added: 18 years ago
Views: 73,735
35,525 ratings
FRM: Binomial (one step) for option price
The binomial solves for the price of an option by creating a riskless portfolio. For more financial risk videos, visit our website!
From: Bionic Turtle
Added: 18 years ago
Views: 221,996
46,993 ratings
FRM: GARCH(1,1) to estimate volatility
GARCH(1,1) estimates volatility in a similar way to EWMA (i.e., by conditioning on new information) EXCEPT it adds a term for ...
From: Bionic Turtle
Added: 18 years ago
Views: 195,044
11,698 ratings
Bonds: effective of maturity on bond price
A tricky learning objective in the FRM is "Discuss the effect maturity has on the price of a bond." Answer: Bond price increases with ...
From: Bionic Turtle
Added: 18 years ago
Views: 8,946
3,095 ratings
FRM: Treasury bond futures: conversion factor
The short position in a US Treasury bond futures contract can select among many different eligible (maturity greater than 15 years) ...
From: Bionic Turtle
Added: 18 years ago
Views: 56,659
17,508 ratings
FRM: Stock Option Greeks
This is a brief review of the option Greeks. They are sensitivities: what is the change in option price with respect to [stock price ...
From: Bionic Turtle
Added: 18 years ago
Views: 67,550
15,524 ratings
FRM: Intuition behind the Black-Scholes-Merton
The value of a European call must be equal to a replicating portfolio that has two positions: long a fractional (delta) share of stock ...
From: Bionic Turtle
Added: 18 years ago
Views: 85,689
19,638 ratings
FRM: Credit linked note (CLN)
A CLN is similar to a credit default swap (CDS): both transfer credit risk to investors. However, the CLN is FUNDED; the bond ...
From: Bionic Turtle
Added: 18 years ago
Views: 78,385
25,248 ratings
FRM: Cheapest to deliver (CTD) Treasury bond
In the last screencast, we noted the role of the conversion factor (CF) is to make the short (in a Treasury bond futures contract) ...
From: Bionic Turtle
Added: 18 years ago
Views: 48,608
5,954 ratings
FRM: Basis risk is the mother of all derivatives risk
The basis is the difference between the spot and futures price. Basis risk attaches to all derivatives. For more financial risk videos, ...
From: Bionic Turtle
Added: 18 years ago
Views: 101,878
44,150 ratings
FRM: Intro to Linear Regression
This video represents a very brief introduction to the "best fit" line through X:Y data. Subscribe to our channel for more financial ...
From: Bionic Turtle
Added: 18 years ago
Views: 386,439
33,148 ratings
FRM: Treasury STRIPS
P-STRIPS and C-STRIPS are popular because: 1. They can be combined or re-constructed into any required sequence of cash ...
From: Bionic Turtle
Added: 18 years ago
Views: 56,559
36,457 ratings