Value at Risk for Interest Rate & Cross Currency Swaps – EXCEL worksheet overviewThe Historical Simulation approach has become the default approach for us to work with when it comes to non liquid securities linked to liquid primary markets. Long dated cross currency and interest rate swaps on exotic emerging and frontier market pair fall [...]
Risk Training’s new interface for 2013 We asked, you answered, we delivered. Based on your feedback, the absolutely essential Google page analytics tool and our friends at Pingdom.com we have been hard at work for the last few months. You, dear readers, asked us to deliver:A faster, more responsive site. More focus on risk, risk training and risk [...]
Setting Stop Loss Limits – limit review triggers and back testing. In our case study on setting stop loss limits we reviewed stop loss limit estimates for Oil, Gold and Silver futures trading. In this post we will take a look at market based triggers that should lead to a review of stop loss limits.Changing Volatility Frequency [...]
700 risk model training pdf and excel downloads later.A year ago, just before the ids of March kicked off we booked our biggest month of sales. While FinanceTrainingCourse.com had evolved and grown ever since its humble beginning as a wordpress blog, last year was special. We had scrounged to put together a workable budget for [...]
Book Review: The Upside of Irrationality: The Unexpected Benefits of Defying Logic at Work and at HomeAccording to economists human beings are rational and can make rational decisions that will maximize benefit. However, given the most recent financial crisis, the political and cultural chaos we see around us, we know that this is not the [...]
Convexity & Duration calculator for US Treasury Bills, Notes and Bonds. To demonstrate how Duration and Convexity are calculated for specific US Treasuries we select instruments from recent US Treasury bill, note and bond auctions. Please note that we are determining these metrics (Convexity & Duration) at issue. We will calculate Macaulay, Modified and Effective Duration [...]
Risk Models, Option Pricing & Bank Regulation training for practitionersA typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on product market, applications or pricing, but not all three. These leaves [...]
Asset Liability Management (ALM) in Banking – Assumptions review for model builders & practitioners In a recent class on Asset Liability Management (ALM) my MBA students asked a number of interesting questions. The questions were interesting because despite working in Risk Management for two decades I had never been asked these questions prior to this class. [...]
Basel II, Basel III & the Financial Crisis – Bull by the Horns – a review. Bull by the Horns: Fighting to save Main Street from Wall Street and Wall Street from itself by Sheila Bair, chronicles her tenure as FDIC Chairman from 2006 to 2011 during the Great Recession. It is a gripping read as [...]
Its time to say goodbye again to the city in a garden. Singapore, thank you for having me over, loved my random walks and your random showers. Glad that I took my camera along and caught quite a few sneak peaks.Till we meet again.