Estimating Value at Risk (VaR) for Interest Rate (IRS) & Cross Currency Swaps (CCS) using Historical Simulation Approach
This post is a continuation of our earlier post that describes the usage of historical simulation for VaR calculation of IRS and CCS (Swaps). In this session we will actually walk through the sample Excel spreadsheet built to [...]

Value at Risk for Interest Rate and Cross Currency Swaps using Historical Simulation
Valuing and marking to market over the counter interest rate (IRS) and cross currency swaps (CCS) has always been a painful topic. Model assumptions, liquidity and open interest in any given tenor varies from one valuation interval to the next and there is [...]

Building a Monte Carlo Simulation model for Delta Hedging European Options
While it is useful to get comfortable with the concept of Delta Hedging, most academic finance specialization programs provide cursory treatment of option price sensitivities and Greeks. Delta hedging as a concept is covered within the foundation of Black Scholes pricing at a theoretical level [...]

As I teach Treasury risk management across Middle East and Far East, there is one question that I really dread being asked. In most cases it is asked by an earnest young student with stars in his eyes. And without fail they all share the same profile – they are bright, young, a few years [...]

Treasury Compliance Training Course for Bank Treasury Function
We recently ran a treasury compliance training workshop for one of the largest treasuries in the region. The suggested outline was put together after joint discussion with the treasury and corporate governance team and focused on possible market abuse challenges and the introduction of the ACI Model Code [...]

The Treasury Risk Training Course – Limits, Capital, Risk Measurement
As a Treasury and investment management user, Treasury risk is one of the most frustrating challenges one faces on a daily basis.
As treasurers and portfolio managers we are forced to rely on historical data using questionable models that remain stable as long as markets behave but [...]

Probability of Default Modeling using Merton’s structured approach
By the time we are done with this class you should be able to calculate the probability of default for Barclays Bank (and if you really want to calculate it for 4 other banks in the BBA USD LIBOR Panel).
The essence of the Merton structured model is simple. [...]

Solved Solution for Value at Risk (VaR) Margin Lending Margin required Prime Brokerage Case Study
36 hours ago we posted our Value at Risk (Margin Lending applications for Prime Brokerage) question and case study as part of the weekend Quant Challenge series. Here is the high level solution for the questions and some pointers. For those of [...]

Using Value at Risk (Var) for Margin Lending Business – Prime Brokerage Case Study Practice Test Questions
Here is a short and brief case study that I would love to test you on if and when you apply to my margin lending desk or my risk management group. Over 15 years I have seen simpler variation [...]

Practice Test Exam Question Solution for Pricing Interest Rate Swaps – MBA course Derivatives I & II
Here is abbreviated partial solved solution to the practice exam question posed earlier. The practice exam question was used in Derivatives Pricing course taught to MBA students earlier in August 2012. The solution is presented in two parts. The [...]