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Category Archives: Editors Choice

RCSA Process

RCSA Case study

RCSA Case study and Example. A simplified RCSA case study that showcases how the RCSA process works. We have been engaged to conduct a risk control self-assessment exercise for the front office treasury group at a bank. We are following the RCSA process presented below. RCSA case study

Credit scoring. An alternate approach

Credit scoring – an alternate approach What is credit scoring? Credit scoring is a tool for segregating client credit exposures based on expected default behavior. It uses a number of techniques to grade clients based on their credit worthiness.  From a portfolio and risk management

Iran oil economy. Has spring really come to Tehran?

Iran oil economy. Nowroz comes to Tehran. Nowroz, the Persian New Year arrives 21st March.  As Tehran shrugs off a mild winter there is optimism about coming months. Iran’s journey on the road of isolation ended in December 2015. The flurry of activity it triggered is

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

Saudi oil strategy. How low can they go?

Saudi oil strategy. How low can they go? The opinion on Saudi oil strategy is divided. Planned mayhem and chaos in exchange for market share versus an over played hand. While we may all have some beef with Saudi Arabia, smart money when it comes to

Russian roulette. Oil prices and Russia

Russian roulette. Oil prices and Russia. All is apparently not well in Moscow. After two years of isolation, internal belt tightening and months of unabated oil price declines, the Russian economy is struggling to answer a core question.  How do you bridge the gap between

Oil prices and China

China Crisis. Oil prices and China dragon roll.

Oil prices and China. The key question that we need to answer is not if the Chinese economy is slowing down. It is how  China is going to drive crude oil demand for the next two years. If and when the Chinese dragon roll, which direction

The knives are out in the Oil market.

The knives are out in the oil market. It has been an interesting twelve months.  Between bottoms, volatility, rumors and market shifts we have seen many interesting plays at work when it comes to trading crude oil.  Depending on who you speak with, low crude

IRS PFE Exposure Estimate

Potential Future Exposure – PFE Calculations for a simple IRS

Potential Future Exposure – PFE – Calculations for an Interest Rate Swap. When it comes to counter party credit risk there are two credit exposure calculation methods that we frequently see in term sheets and internal risk reporting. Pre Settlement Risk Exposure (PSR or PSRE) and

Tehran. Not exactly Middle East

Tehran. Not Exactly Middle East The first thing I notice about Tehran is the airport is not in a bad state. For a country supposedly crippled by sanctions and isolation for over a decade, one would expect some signs of disrepair. But the terminal is refreshingly

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