Guides

Worked guides

• Value at Risk: the square-root-of-time ruleScale a one-day VaR to ten days with a worked example, and see where the rule breaks.
• Duration and convexity: how good is the approximation?A ten-year bond repriced at four yield shocks, exactly and with the duration and convexity estimates.
• Initial margin and the uncleared margin rules, explainedWho has to post it, how it is sized, and why the phase-in dates matter.
• Valuing an interest rate swap: a three-year worked exampleDiscount factors, the par swap rate and the value of a 4% swap, step by step.
• Expected shortfall versus VaR: what changes in the tailWhy regulators moved from 99% VaR to 97.5% expected shortfall, with normal and fat-tailed numbers.
• Credit valuation adjustment (CVA): a worked exampleWhat counterparty credit risk costs on a derivative, step by step from exposure, default probability and recovery.

Study with the apps

The guides come from the same material as our two Android apps. Cornerstone covers CFA® and FRM® topics with short sessions; OTC Learn covers OTC derivatives product by product. Both are free to start and work offline.

Cornerstone   OTC Learn