Quantitative Analysis (FRM Topic 2)
31 videos • 58,068 views • by Bionic Turtle
These videos cover the concepts in Topic 2 , Quantitative Analysis, in the FRM curriculum.
1
Probability functions: pdf, CDF and inverse CDF (FRM T2-1)
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2
Inverse transform method (FRM T2-2)
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3
Probability matrix (FRM T2-3)
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4
Summary of joint vs unconditional vs conditional probability (FRM T2-3a)
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5
What is statistical independence? (FRM T2-4)
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6
Variance of a discrete random variable (FRM T2-5)
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7
The skew (and sample skew) of a distribution (FRM T2-6)
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8
Kurtosis of a probability distribution (FRM T2-7)
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9
Covariance: population vs. sample, and relationship to correlation (FRM T2-8)
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10
Bayes Theorem: Simple test for disease (FRM T2-9)
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11
Bayes Theorem, adding a bit of complexity (FRM T2- 9b)
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12
Bayes Theorem, Three-state variable (FRM T2-9c)
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13
Test of sample mean (Confidence interval, test statistic and p-value, FRM T2-10)
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14
Test of sample variance (FRM T2-11)
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15
The p value is the exact significance level (FRM T2-12)
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16
Type I versus II error and power (FRM T2-13)
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17
Linear regression: Sample Regression Function (SRF, FRM T2-14)
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18
Linear regression: OLS coefficients minimize the SSR (FRM T2-15)
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19
Regression: standard error of regression (SER, FRM T2-16)
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20
Regression: R-squared (FRM T2-17)
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21
Regression: significance test of slope coefficient (FRM T2-18)
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22
Univariate regression: Confidence interval of slope coefficient (FRM T2-18b)
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23
Adjusted R^2 (FRM T2-19)
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24
Regression: Excel's linest array function and its goodness-of-fit measures (FRM T2-19b)
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25
The F ratio is a test of overall significance in a multivariate regression (FRM T2-20)
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26
Volatility: standard deviation (FRM T2-21)
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27
Volatility: Exponentially weighted moving average, EWMA (FRM T2-22)
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28
Volatility: GARCH 1,1 (FRM T2-23)
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29
Forecast volatility with GARCH(1,1) (FRM T2-24)
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30
Comparing volatility approaches: MA versus EWMA versus GARCH (FRM T2-25)
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31
Maximum likelihood estimation of GARCH parameters (FRM T2-26)
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