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Boot Strapping Zero Curves for IRS and CCS Pricing

Bootstrapping the Zero Curve and Forward Rates

Deriving zero rates and forward rates using the bootstrapping process is a standard first step for many valuation, pricing and risk models. Interest rate and cross currency swaps & interest rate options pricing & VaR models, revolving credit facilities & term B loans valuation models,


50 seconds before 50.

50 seconds before 50. Or the inspiration to climb a personal Mount Kilimanjaro. The trail that couldn’t be. The route to Rakaposhi base camp (elevation 4,000 meters) through Hunza (elevation 2,000 meters), Gilgit Baltistan, Pakistan. I turned 45 last month. August 2015 I was in a


Basel III – Capital Adequacy – US implementation

The Federal Reserve published revised capital adequacy rules and regulations in July 2013 that follow the Basel III revisions to capital adequacy rules. In particular there are revised minimum capital & leverage ratios, a capital conservation buffer and more stringent criteria for instruments eligible for


Celebrating Juno’s arrival on Jupiter

Celebrating Juno’s arrival on Jupiter. A five year journey comes to its planned end this coming Tuesday. As Juno prepares for Jupiter Orbital Insertion (JOI), the sequence of event and planning required to get Juno to this point is worthy of a risk management case


The Brexit reference for dummies

Brexit reference for dummies. European Union – a brief history The European Union, previously known as the European Commission and before that as the European Economic Community was formed after World War II in 1957 with the objective of providing support for economies of its


Dubai Training series. FX Options, CVA and ALM.

Dubai Training – Power Workshops Announcing three new Dubai training workshops (Instructor led) in our brand new Power workshop series. Planned dates are last week of July. Three in demand topics. Three days.  For Treasury, Finance, Risk, Compliance and Internal Audit team members and audiences

Driving bank consolidation

Bank consolidation and M&A drivers.

Bank consolidation and M&A drivers It is that time of the year again within the banking industry in the Middle East. The move for bank consolidation and the need to roll out and brush the dust off our bank M&A models.  Like every other industry


A year’s worth of shoes.

A year’s worth of shoes There was a new message waiting for me on Linkedin.  It said: I had never met Mujtaba Kadri before. Other than our common Linkedin ancestry, there was no bond or overlap till this May in our lives. It was a

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