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All posts by Agnes

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Target Redemption Forward (TARF) Pricing Models in Excel

TARF Pricing Models Our two part series on TARF pricing models begins where we stopped with our analysis on TARF hedge effectiveness. We cover both vanilla TARF (without any path dependent options) and Knock in Knock out (KIKO) TARF’s in that discussion. In this post

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FX Currency Options – The USD JPY FX options convention

USD JPY FX options convention. For business school students taking the treasury product exam or preparing for a trading desk interview, the USD JPY pair is particularly troublesome. Here is a list of common errors and challenges side by side with four simple examples for

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Mis-selling in FX Markets – Losses from zero cost investments

Investors – financial institutions, non-financial institutions, individuals – choose the FX Markets for a number of reasons that include hedging of their FX exposures against adverse currency movements, benefiting from a diversification of investments, earning a more attractive risk adjusted return, speculating and betting on

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Dual Currency Deposits (DCD)

Dual Currency Deposits (DCD) are structured products that allow an investor to earn an increased interest rate as compared to the base rate that would be earned on a regular fixed term currency deposit. Besides the enhanced interest rate, the product is designed so that

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Anti-Money Laundering Programmes – Systems

AML governance framework, risk-based approach & elements of a reporting system In our previous post we discussed what money laundering is. We listed the Financial Action Task Force’s (FATF) 40 recommendations that are used to develop and implement national AML/CTF regulations and laws to counter

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Anti-Money Laundering Programmes – Regulations

Money Laundering and the foundation for implementing an effective Anti-Money Laundering System Money Laundering is the attempt to disguise the proceeds generated from criminal or illegal sources and activities as if they were produced by legitimate means. Unrestrained money laundering provides an incentive for criminal

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Calculating IBNR – Process Checklist

IBNR reserve, Unearned Premium Reserve (UPR) & Premium Deficiency Reserve (PDR) IBNR reserves are a part of claims reserves estimated by insurers for reporting on their financial statements. Claims reserves are estimates of claims that have occurred on or before the financial statement report date

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