US Rig productivity, rig count and US oil production. Relationship or paradox? Pick up any news source and every week for the last few weeks you will see a mention of the steep decline in US rig counts beginning November 2014. From validating the Saudi oil
Doha Oil Output Freeze talks. 7 Questions for Oil trading playbook in April. On April 17th 2016 a dozen key oil producers, OPEC members and non-members, will meet in Doha, Qatar to discuss the future of oil prices. The big item on the table is
A guide to reverse stress testing A typical stress test creates a scenario and evaluates how a bank would fare under it. Compared to reverse stress testing, conventional stress tests are used to assure shareholders, regulators and customers that the capital on bank balance sheet
ICAAP and ILAAP European guidelines. What is ICAAP? Internal Capital Adequacy Assessment. Internal Capital Adequacy Assessment Process (ICAAP) is an internal review requirement that evaluates capital adequacy, capital management and planning at banks with a specific focus on core risk factors. Expected to be reviewed
Basel III Credit Risk – Standardized Approach. The Basel III standard issued by BIS has been up for discussion and debate. BIS issued a first consultative paper on the revisions to the standardized approach to credit risk in December 2014. A second consultative paper was
Bank Stress Test. A changing model. Bank failures are such a traumatic event for society. Think of bank failure and the first few images that come to our mind are tragedy and social upheaval. Pre 2008 our generation had only heard of the great depression.
Using Copulas to Model spread between crude oil blends. Brent is the European crude oil blend. WTI is the North American pricing benchmark for crude oil. While Brent is used to price bulk of the crude oil cargoes purchased and sold across the world, WTI
Hob House – Kenya Art Collection Two weeks ago, I wrote about my brilliant stay at Hob House – a hidden Nairobi gem that also moonlights as a bed and breakfast. While I spoke about Kelly’s hospitality and her magical kitchen I didn’t really get a
Building Copulas in Excel. Foundations. Copulas – revisiting the definition. In our first lesson on Copulas in Excel we introduced the concept of marginal (individual) distributions for the two blends of crude oil we are interested in modeling. We also spoke about a joint distribution
Presenting credit memo for credit committee approval The credit committee or loan committee review meeting is the final trial by fire for the loan proposal (credit memo) prepared by the loan officer and the credit analyst. While credit risk as a function and a business