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Credit default swap (CDS) Credit default swap (CDS)
Posted by: bionicturtledotcom

Video duration: 357 seconds

A CDS is a bilateral contract between two counterparties. The protection buyer is buying insurance: he/she pays premiums in exchange for a payoff in case there is a CREDIT EVENT (a trigger)
Intro to Quant Finance: Value at Risk (VaR) Intro to Quant Finance: Value at Risk (VaR)
Posted by: bionicturtledotcom

Video duration: 588 seconds

The basic approach to VaR is delta normal: a scaled standard deviation
Normal probability distribution Normal probability distribution
Posted by: bionicturtledotcom

Video duration: 560 seconds

Review of the normal density function and its key properties
Intro to logarithms Intro to logarithms
Posted by: bionicturtledotcom

Video duration: 594 seconds

The inverse of a logarithmic function is an exponential functions. And if we use a base of natural e, we can compute continuously compounded returns
Regression #1: Sample regression function (SRF) Regression #1: Sample regression function (SRF)
Posted by: bionicturtledotcom

Video duration: 450 seconds

The population is unobserved. We draw samples and make inferences based on the samples. Each sample has a sample regression function (SRF).
Binomial distribution Binomial distribution
Posted by: bionicturtledotcom

Video duration: 597 seconds

The binomial is one of the basic distributions, yet surprisingly common in risk and quant finance. Here I take a look at its key properties and compare the formula to Excel's built in =BINOMDIST()
Regression #2: Ordinary Least Squares (OLS) Regression #2: Ordinary Least Squares (OLS)
Posted by: bionicturtledotcom

Video duration: 568 seconds

OLS minimizes the residual sum of squares (RSS). RSS is the sum of each squared residual (residual = the observed Y minus the predicted "on the line" Y). Also, about the OLS: the average residual is always zero, and the line passes through the point (average X, average Y)
Bayes\ Bayes' Formula
Posted by: bionicturtledotcom

Video duration: 397 seconds

Bayes' Theorem formulas an intuitive idea: we adjust our perspective (the probability set) given new, relevant information. Formally, Bayes' Theorem helps us move from an unconditional probability (what are the odds the economy will grow?) to a conditional probability (given new evidence, what are the odds the economy will grow?)
Collateralized debt obligation (Balance Sheet CDO) Collateralized debt obligation (Balance Sheet CDO)
Posted by: bionicturtledotcom

Video duration: 456 seconds

A balance sheet CDO transfers credit risk from the bank (originator) to investors. A key aspect of a CDO is that investors have different (tranched) securities.