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
Variance Reduction tools for Monte Carlo Simulation. 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
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
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
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
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
If you want to go ahead and build your own Value at Risk (VaR) model for equities, currencies, commodities and bond, check out the Calculating Value at Risk Course below. Within the calculating VaR course we walk through VCV (Variance CoVariance) and Historical Simulation, Portfolio Value at Risk and VaR for Fixed Income securities.
On the other hand N(d1) will always be greater than N(d2) because in linking it with the contingent receipt of stock in the Black Scholes equation, N(d1) must not only account for the probability of exercise as given by N(d2) but must also account for the fact that exercise or rather receipt of stock on exercise is dependent on future value
“The Big Short: Inside the Doomsday Machine” presents a different perspective of the financial crisis. Michael Lewis leads us through the crisis hand in hand with the select few who made millions because of it – short sellers who foresaw the impending crisis and who placed timely bets against the financial system.