ALM Modeling – Assumptions, Conventions & Hacks
5 mins read ALM Banking models – Assumptions review In a recent class on Asset Liability Management Models, my MBA students asked a
Conditional Value at Risk (CVaR)
5 mins read Imagine a board meeting. You have just presented your Value at Risk (VaR) analysis and a board member asks a
Monte Carlo Simulation how to – Linking financial model to the simulation
3 mins read Since we have a model for simulating oil prices, we are now ready to link our oil price model to
Liquidity Stress Testing a fixed income securities portfolio
3 mins read How do you manage liquidity risk for a fixed income portfolio. How do you stress test liquidity risk for the
Stress testing guidelines for bank. A simple comparison of US, European and Asian guidelines.
9 mins read A short review of stress testing regulatory frameworks. Stress testing is evaluating the impact of large, expected as well as
Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
3 mins read Jawwad Farid Every since the Basel and BIS Committee that formulates the Basel Standard announced a preference for exploring an