Discover and read the best of Twitter Threads about #FRM

Most recents (11)

Stochastic and Deterministic LGD Loss Given Default Models are different.
Many bankers are unable to understand the different mathematical assumptions that can make the computations.
That is a big risk per se!
@BIS_org
#model #Risk #Validation #Creditrisk #FRM
#MachineLearning
What is a hazard rate assumption?
How can credit risk be modelled using hazard rates?
This is beyond an average #banker.
Most primal bankers only understood the 5 or later the 7Cs of credit.
Accounting, cashflows, creating a charge on assets, foreclosure, special asset mgmt, etc
Actually, Quantitative Risk Management has not helped at all, in my opinion.
Blindly applying maths and statistics has made decision-making worst.
Banking was about relationship mgmt, business model analysis, accounting trickeries, branch operations, etc
Now it's like a lab work
Read 4 tweets
Which is a better career option, an #MBA in finance or financial risk management?
I am not an admirer of the MBA Degree Program. So I think I should not be answering this question per se.

But, let me give it a try.
MBA is a professional qualification, unlike MA / MSc / MS / MPhil Degree programs.
How you will benefit from an MBA degree, is entirely up to your understanding of the challenges emerging in the workplace.
MBA Finance is neither a fish nor fowl qualification.
If you would like to learn financial theory, derivatives, risk and economics, you will be better off by doing a proper MS or MSc in Financial Economics or Applied Finance (Financial Engineering).
Read 26 tweets
What is better in a banking career, risk management or internal audit?
@GARP_Risk
Difficult question.

Depends on where you are and what you have studied in the past?
Risk, is an emerging area, within the first world. Just visit the financial careers website to check out the jobs in Citi and elsewhere.
Read 14 tweets
Many students doing basic mathematics cannot distinguish between #iteration, #simulation, and #emulation as different methods of experiment design.
Even further surprised why so many students don't know the similarity and the difference between computation and calculation.
These are some of the basic mistakes which one, embedded into the mind, will work their way right into a workplace and destroy our educational foundations
For, e.g. when I was teaching Introduction to FRM Financial Risk Management, I noticed many students thought they are three different types of VaR - Value at Risk.
What they didn't realize is that VaR can be computed using different models aka methodologies, namely, HS, VCV, MCS.
Read 10 tweets
Interviewed a fully qualified #actuary from the @SOActuaries professional body, who really impressed me!
It goes on to show that not all mathematically inspiring and charismatic blokes are dull at understanding the subtle qualitative aspects of business #risk and transactions.
Actually, I do offer my services as a recruiter aka professional headhunter and knowledge capital developer, in addition to teaching Talent Management at staff colleges across financial institutions
I often get twirled when I have to choose between Financial Engineers & Actuaries
Mostly, for Front Office Risk Management roles, Financial Engineers, Financial Mathematicians, and Quantitative Economics or Finance Risk, etc candidates get preference
For Middle Office and other Risk Sub-Silos Roles, Actuaries compete with other Quants coming from hard sciences
Read 14 tweets
Buy Vs. Sell-Side Risk Information: Time to Differentiate between “Your Risk” and “My Risk” Reports
@CFAinstitute @GARP_Risk
Report Sample of Asset Allocation Analytics
Well, we all are accustomed to reading “Buy” and “Sell-Side” Investment Evaluation Reports prepared by Financial Research Analysts at various FIs such as Investment Companies operating in the Financial Markets.
Read 50 tweets
Which are some stylized failures of Risk Management?
It is the only subject when turned into a profession, which fails to deliver in SVA terms in most of the cases, as witnessed now outside the Insurance Sector
Insurance is a different game because the profession is led by well-trained quantitative professionals such as Actuaries
Why it has not worked well outside the Insurance Sector/s?
The multiple reasons for the failure of Risk Management and Auditing Departments at firms could be the following =>
Read 20 tweets
What are new graduates doing to be attractive to banks entry-level analyst programs?
@ABABankers @TheBanker @CIOonline @RiskDotNet @FT
Interesting question.
Banking sector MTO - Management Trainee Officers Program vary from country to country.
In my country Bank Staff Colleges train young graduates to become bankers.
The hired graduates have to undergo an intensive training course by attending several In-house boot camps or lecture hall workshops before they are moved into the formal workplace.
Read 38 tweets
What is the difference between a master in financial risk management and a master in quantitative finance? Which is harder?
@GARP_Risk
Risk Management focuses on loss identification, measurement, management and monitoring.
It's a Negative or Hazardous Incidence Reporting focussed science which has to be perfected and practised as a management art.
In a standard Financial Risk Degree, you might learn Financial Risk Management, ERM - Enterprise Risk Management and other aspects of Actuarial Sciences and/or QRM - Quantitative Risk Management which becomes very mathematical in overall terms.
Read 14 tweets
I have been asked to do a detailed write-up on what does and does not constitute risk management.
There is a lot of confusion within the scholarly cum practitioner domain, as many topics are unjustly added or deleted from academic curriculums and workshop topical course outlines
Risk Management has a wide scope both within the financial services and non-financial services industry.
Especially, Risk as a subject has greatly benefited from the transfer of applicable and vocational knowledge outside the Insurance Field, over the years.
Risk as a profession, which was and continues to be dominated by Applied Statisticians, and Mathematicians, generally fitted well into the #Actuarial Domain, but, only until recently, when scholars from other non-related professions jumped into the market, offering afresh ideas.
Read 19 tweets
If the connotation of risk is an intertwined concept and is difficult to quantify, how does a Risk Officer look at it?
Is there any way other than using copula models to determine systemic risk with long tails or a black swan event?
@CQFInstitute @GARP_Risk @SOActuaries
I guess we are worried about Market and Credit Risks or other interrelated financial risks which can create conjoint loss given events.
Any #Gaussian distribution model will enable you to model and predict potential Operational, Liquidity and Balance sheet AL - (Asset - liability) Mismatch, Market and Credit drove losses under normal market conditions.
Read 32 tweets

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