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All posts by Agnes

Probability of Default: Deutsche Bank – November 2016

The financial strength of Deutsche Bank has been the subject of main stream financial news throughout this year. Analysts have been commenting on the bank’s likelihood of default, its ability to maintain ratings, to make money and increase capital, in light of litigation woes, downsizing,

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,

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

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

FAS 157 Fair value liabilities disclosure

FAS 157 Fair value liabilities disclosure. Term B loans, credit lines, revolvers and LCs. Fair values of highly customized and ill-liquid credit instruments like institutional Term B loans, credit lines, revolving credit facilities, letters of credit, etc., are determined using assumptions and inputs that are

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