## Saturday, August 25, 2012

### Market Risk Credit Risk FRM L2 (Book1) Prep Strategy Info [Learn FRM using MATLAB/R/VBA]

Market Risk FRM L2

Three most interesting areas in Market Risk Uni variate and Multi Variate :
1. EVT
2. Multi Variate Models
3. Back Testing
4. Monte Carlo
5. Copula

4 Chapters in which the area is divided:
1. Uni variate
2. Multivariate
3. Volatility
4. MBS: OAS, etc. Pre payment, trenching, etc

The first two might be theoretical and more maths, but the last 2 are seen extensively in the market. Volatility index is something which is often seen and an important area.

Credit risk
A highly practical subject
1. Includes CDO, CDS, pre payments, etc
2. default probability and CDS
3. sovereign rating: GDP, currency and debt of the nation
4. measuring default from market prices
6. merton model
7. currency swap interest rate swap
8. CDO structure trenching: junior senior

Other topics
Hedge fund risk / portfolio risk

MATLAB VAR:
http://gloria-mundi.com/library_journal_view.asp?journal_id=8769
http://www.mathworks.com/matlabcentral/fileexchange/32154-estimation-value-at-risk-by-using-conditional-copula-garch
http://www.mathworks.com/help/finance/conditional-value-at-risk-portfolio-optimization.html
http://www.mathworks.com/help/finance/portvrisk.html
http://www.docstoc.com/docs/73976635/Matlab-Code-for-Value-at-Risk-Methods
http://www.analyticsresearch.net/Documents/VALUE%20AT%20RISK.new4practical.pdf
http://datavir.com/?p=304
http://www.thetaris.com/wiki/Value_at_Risk
http://www.mathfinance.cn/value-at-risk-estimation-with-copula/
http://www.sfu.ca/~rgencay/evim.pdf
http://phd.london.edu/pnath.phd98/MatlabUtilities.htm