2:14Credit valuation adjustment (CVA), worked example
What counterparty credit risk costs on a derivative, calculated step by step.
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Videos
Worked examples for CFA®, FRM® and OTC derivatives in about three minutes each, with a written guide alongside.
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Each video takes one exam topic and works it through with real numbers in about three minutes, then links to a written guide here with the same example. New videos and Shorts go up on the channel first.
FRM Part I and Part II: worked examples
4 videos. Play the whole playlist on YouTube.
2:14
2:36Expected shortfall vs VaR
Normal and fat-tailed numbers side by side, and why Basel moved to 97.5% expected shortfall.
2:43VaR and the square-root-of-time rule
Scaling a one-day VaR to ten days, with a worked example and where the rule breaks.
2:49Interest rate swap valuation
Discount factors, the par swap rate and the value of a three-year swap, step by step.
CFA Level I: worked examples and BA II Plus keystrokes
2 videos. Play the whole playlist on YouTube.
3:49BA II Plus keystrokes for CFA and FRM
Setup, time value of money, NPV and IRR, and bond prices on the exam calculator, key by key.
2:22Duration and convexity
A ten-year bond repriced at four yield shocks, exactly and with the duration and convexity estimates.
OTC derivatives and XVA, with worked examples
3 videos. Play the whole playlist on YouTube.
2:57Close-out netting and the Lehman default
How close-out netting works under an ISDA Master Agreement, worked through one fund's three swaps with Lehman in 2008.
2:58Funding valuation adjustment (FVA), worked example
What it costs a bank to fund an uncollateralised swap, and how FVA is calculated.
2:59Initial margin and the uncleared margin rules
Variation vs initial margin, SIMM vs the schedule, and the €50m threshold.
The apps
2 videos.
0:55OTC Learn: the app in 55 seconds
A quick tour of OTC Learn, the OTC derivatives app.
0:55Cornerstone: the app in 55 seconds
A quick tour of Cornerstone, the CFA and FRM study app.
Educational content only. Nothing in these videos is financial advice. CFA® and FRM® are registered trademarks of their respective owners; GroundLearn is not affiliated with CFA Institute or GARP.
Practise it in Cornerstone
Snapshot cards and five-question sessions for CFA® and FRM® candidates, free on Android and offline. The full glossary is in the app too, with search.
About CornerstoneOr get a free practice question every day on the Cornerstone WhatsApp channel.