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All posts by Jawwad Farid


TARF hedge effectiveness model

TARF Hedge effectiveness model. This is our second post in the TARF hedge effectiveness series and in the treasury candidates assessment series case. To catch up with the case please see the original TARF case study that defines the client requirement as well as available


Higher moment Portfolio models. Skewness preference.

Higher moment Portfolio models. Skewness preference. So far in the portfolio optimization course our focus has been on single dimension analytics. With both risk and performance we have only looked at one metric at a time. While our Solver models have worked with multiple constraints,


Debunking Finance data science myths

Debunking Finance data science myths. An actuary and a computer scientist debunk popular finance data science myths. When I first started working with models, the phenomenon that fascinated me the most was changes in stock market prices.  This was in an era where great fortunes

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