Valuation and RIsk Models (FRM Topic 4)
44 videos • 65,614 views • by Bionic Turtle
1
Three approaches to value at risk (VaR) and volatility (FRM T4-1)
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2
Historical simulation (HS VaR): Basic and age-weighted (FRM T4-2)
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3
Delta-normal value at risk (VaR, FRM T4-3)
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4
Delta-gamma value at risk (VaR) with the Taylor Series Approximation (FRM T4-4)
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5
Coherent risk measures and why VaR is not coherent (FRM T4-5)
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6
Introduction to binomial option pricing model: two-step (FRM T4-6)
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7
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8
Binomial option pricing model: up/down jumps based on volatility (FRM T4-7)
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9
Binomial tree option price: American-style (FRM T4-8)
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10
Binomial option pricing model for equity index, currencies, and futures options (FRM T4-9)
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11
Lognormal property of stock prices assumed by Black-Scholes (FRM T4-10)
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12
Black Scholes Merton option pricing model (FRM T4-11)
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13
How to interpret N(d1) and N(d2) in Black Scholes Merton (FRM T4-12)
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14
Option delta (FRM T4-13)
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15
Dynamic option delta hedge (FRM T4-14)
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16
Option gamma (FRM T4-15)
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17
Option delta plus gamma (FRM T4-16)
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18
Option vega (FRM T4-17)
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19
Option theta (FRM T4-18)
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20
Hedging (aka, neutralizing) option delta and gamma (FRM T4-19)
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21
Market maker's delta-hedge illustrated (FRM T4-20)
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22
Fixed income: Law of One Price (FRM T4-21)
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23
Fixed Income: Bond's full/flat price on settlement date (FRM T4-22)
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24
Fixed Income: Twists are steepening or flattening of the yield curve (FRM T4-23)
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25
Fixed Income: Arbitrage to exploit violation of law of one price (FRM T4-24)
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26
Fixed Income: Infer discount factors, spot, forwards and par rates from swap rate curve (FRM T4-25)
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27
Fixed Income: Maturity versus Bond Price (FRM T4-26)
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28
Fixed Income: Gross versus net realized return (FRM T4-27)
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29
Fixed income: bond spread (FRM T4-28)
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30
Fixed Income: Yield to Maturity (FRM T4-29)
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31
Fixed Income: Term Structure Scenarios (FRM T4-30)
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32
Fixed income: Carry roll down (FRM T4-31)
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33
Fixed income: Bond DV01 (aka, price value of basis point, FRM T4-32)
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34
Fixed Income: Hedging the DV01 (FRM T4-33)
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35
Fixed Income: Effective duration (FRM T4-34)
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36
Fixed Income: Simple bond illustrating all three durations (effective, mod, Mac) (FRM T4-36)
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37
Fixed income: Effective Convexity (FRM T4-37)
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38
Fixed Income: Duration plus convexity to approximate bond price change (FRM T4-38)
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39
Fixed Income: Impact of Yield and Coupon on Duration and DV01 (FRM T4-39)
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40
Fixed Income: Bullet versus Barbell Bond Portfolio (FRM T4-40)
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41
Fixed Income: Analytical Convexity; aka, modified convexity (FRM T4-41)
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42
Fixed Income: Duration and Convexity Summary (FRM T4-42)
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43
Fixed Income: Key rate shift technique (FRM T4-43)
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44
External Credit Ratings (FRM T4-44)
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