Agnes recently did a lot of work in putting together a short course on correlations from a risk and trading point of view. Unlike the boring text book stuff, there are some interesting lessons and applications here if you want to track correlations over a
In this post on value at risk we will start off with a data series for the USD-EUR Foreign currency exchange rate and see what a tool like Value at Risk can tell us about both the likely as well as the worst case movement for this exchange rate.
Basel III Enhancement – Linking liquidity crisis with Liquidity Coverage Ratio and Stable Funding Ratios
The SAARC Finance policy response workshop on Basel II Enhancements SBP, NIBAF and SAARC Finance organized a two day workshop on Basel III implementations and Central Banks policy response to these changes in the SAARC region. Four external speakers were invited to present to a
Besides the two supervisory standards proposed in the Basel III liquidity reforms, the liquidity framework also presents 5 metrics that would be used by banks to monitor their liquidity position on a consistent basis. National supervisory authorities have the discretion of suggesting additional measures that
Basel III – NSFR In our previous posts we had addressed the Liquidity Coverage Ratio, the short term resilience liquidity standard to be introduced with the Basel III reforms. In this post we discuss the long term supervisory measure for assessing liquidity risk, the Net
Large bank holding companies in the US are required to submit on an annual basis a board of directors approved comprehensive capital plan to the Federal Reserve. The plan is a long run (2-year/ 9-quarter) forward looking quantitative and qualitative review of the firm’s internal
On the other hand N(d1) will always be greater than N(d2) because in linking it with the contingent receipt of stock in the Black Scholes equation, N(d1) must not only account for the probability of exercise as given by N(d2) but must also account for the fact that exercise or rather receipt of stock on exercise is dependent on future value