According to the reforms to the capital and liquidity framework, Basel III would require the banking sector to maintain and monitor two key minimum funding liquidity standards as part of the supervisory/ regulatory approach to managing liquidity risk. This would be in addition to the supervisory assessments that regulators would be required to undertake to review whether liquidity risk management frameworks set up by the banks are consistent…
Premium Courses Monte Carlo Simulation – Commodity – Example$8.99Calibration of CIR Model – EXCEL Example$39.99Monte Carlo Simulation – Equity – Example$8.99ICAAP Sample Report Template & Executive Summary$79.00Archives for March, 2011
Monte Carlo Simulation: Convergence and Variance reduction techniques for option pricing models
Monte Carlo simulation techniques are a useful tool in finance for pricing options especially when there are a large number of sources of uncertainty (in modeling terms: state variables) involved. Unlike Black Scholes formula for which closed formed solutions usually do not exist when there are three or more state variables or numerical methods like binomial option pricing models which become impractical when the…
Premium Courses Calculating Value at Risk (VaR) - Package$77.00Pricing IRS – Module I – Term Structures$14.49Corporate Finance – First Course – Includes case study$17.49Black-Derman-Toy (BDT) Interest Rate Model - Package$125.00Setting Risk Limits: Worst Case Loss versus Most likely loss
I recently ran a presentation for a client where I had to justify setting risk limits at a pre-defined threshold for a treasury and investment management function, linking Stop Loss, Value at Risk and Management Action Triggers. The question a very astute board member asked me was a simple one:
How likely is this worst case loss and what would happen when it would actually occur?
To explain my…
Premium Courses Portfolio Risk Metrics – EXCEL Example$19.99Duration Convexity – EXCEL Example$11.49ICAAP Sample Report Template & Executive Summary$79.00Interest Rate Simulation Crash Course$79.99The Fed Guidelines on Capital Analysis: Comprehensive Capital Analysis and Review (CCAR)
Large bank holding companies in the US are required to submit on an annual basis a board of directors approved comprehensive capital plan to the Federal Reserve. The plan is a long run (2-year/ 9-quarter) forward looking quantitative and qualitative review of the firm’s internal capital adequacy assessment processes and capital resource management strategies.
Key components of the plan include:
Description of regulatory capital base, key contractual terms of capital instruments… Premium Courses Calculating VaR for Futures and Options - EXCEL Example$69.00Derivative Pricing – Binomial Trees – Efficient Approach$14.49Calculating Value at Risk (VaR) - Package$77.00Credit Analysis – First Course$11.99Enchantment – Persuasion, selling and making a difference for startups by Guy Kawasaki
This March marks the 8th year I have been teaching entrepreneurship as a subject. In every group of 35 students I teach I come across a handful on fire. The wild, out of control, let me change the world fire, as well as the slow burning, smoldering, I will get through everything fire. All I have to do is to make them see the end goal and they…
Premium Courses Calculating VaR – Includes case study$18.49Calculating VaR (Value at Risk)$199.00Setting & Linking VaR, Stop loss & PSR Limits$199.00Derivative Products$11.49Finance Training Courses: From Inception (Text) to version 3.0 (Finance training videos):
A number of friends asked if I could put a post (or a series together) time lining the Finance Training Course adventure. For those of you who have just joined us, Finance Training Course is a business that grew out of a conversation last December with a friend about making money from selling content online. The conversation triggered the experiment which sort of became a…
Premium Courses Pricing IRS – Module I – Term Structures$14.49Setting Limits – EXCEL Example$19.49Selling Derivative Products$199.00Treasury Crash Course$219.00Quant Training Videos: Value at Risk, Option Pricing, Monte Carlo Simulation and N(d1)
Check out free sample snippets from our courses on Calculating Value at Risk, Option Pricing, Monte Carlo Simulation and understanding N(d1)
It is embarrassing to confess but it is a question that stumped me the first time a student posed it.
What is N(d1) and how is it different from N(d2)?
The difference is as subtle and fundamental to derivative pricing as is fission and fusion in nuclear physics. In…
Premium Courses Pricing Interest Rate Options – Module III$14.49Setting & Linking VaR, Stop loss & PSR Limits$199.00Monte Carlo Simulation – Currency – Example$8.99Corporate Finance – First Course – Includes case study$17.49Risk Training Videos – Audience Profile
Here is a quick look at the changing audience profile for our risk and finance training videos site over the last 30 days. We tend to attract well educated, affluent, Asian and African American middle aged males with no children in the house and 6 figure annualized household income.
Premium Courses Derivative Products - Package$15.00Forward Prices and Forward Rates - Calculation reference & detailed examples$27.79Pricing Ladder Options using a Monte Carlo Simulator$22.00Monte Carlo Simulation – Commodity – Example$8.99Book Review: The Big Short: Inside the Doomsday Machine by Michael Lewis
“The Big Short: Inside the Doomsday Machine” presents a different perspective of the financial crisis from that given in Roger Lowenstein’s “The End of Wall Street”. In that book we saw first-hand how the events transpired in the big Wall Street firms and the millions lost by them. In this writing Michael Lewis leads us through the crisis hand in hand with the select few who made…
Premium Courses Credit Process$11.99Principal Component Analysis – PCA – US Treasury Yield Rates$54.49ALM – Crash Course – EXCEL Examples$59.00Valuing Options – Binomial Tree – Traditional Approach – EXCEL Example$12.99
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