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Category Archives: Computational Finance

BootStrappingZeroCurve

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,

Spread-WTI-Brent-16-year-history

Using Copulas to model spread between WTI and Brent.

Using Copulas to Model spread between crude oil blends. Brent is the European crude oil blend. WTI is the North American pricing benchmark for crude oil. While Brent is used to price bulk of the crude oil cargoes purchased and sold across the world, WTI

Star-Burst-Night-Gaze-lrg-1024x530

Zen of building risk models. Balls or barrels?

The Zen of building risk models. A model builder speaks about his reason for being. Ask the right question. Answer it quick. The model will take care of itself. That is all there is to building great models.  I build models. In 1987 when I was

Attributes of Economic Capital Model

Economic Capital for banking industry

Economic Capital – Everything you ever wanted to know but were afraid to ask. For the last seventeen years I have hated conversations with board members around economic capital. It is perfectly acceptable to discuss Market risk, Credit risk or interest rates mismatch in isolation