Browse By

Category Archives: Risk

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

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

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

Operational-Risk-OpRiskFlow

Operational risk management for banks

Operational Risk Operational Risk (OR) is the risk of direct and indirect loss resulting from inadequate or failed internal processes, people and systems or from external events. This definition includes legal risk but excludes reputational and strategic risks. According to the Basel II accord, a

Shahmir-small

The fastest 11 years old in Karachi.

The Fastest 11 year olds in Karachi.   It didn’t look like a great start for the day.  It had been drizzling all night and the tartan track at the National Coaching Center was wet at 7:00 am in the morning.  While rain had brought

LinearRegression-WTI-Brent

Building Copulas in Excel

Copulas – A quick introduction. If you build economic capital models for financial institutions, a common problem is creating a model for the Enterprise. At the simplest level this requires an ability to integrate risk profiles from market, credit and operational risk models.  Three different risk

Ebola-virus

Ebola market impact

Ebola market impact Ebola outbreak, which was originally confined to West Africa, now has reported positive cases across Europe and United States of America. In the past the outbreak has always been limited to impoverished Africa, this year’s panic was triggered by the deadly’s virus’s

BCBS 239

BCBS 239. The new BIS risk data aggregation, risk reporting standard

BCBS 239. Principles for effective risk data aggregation and risk reporting Improving banks’ ability to aggregate risk data will improve their ability to resolve and survive future financial crisis. In crisis mode a bank’s ability to determine its true exposure quickly aggregated across asset and

Bitcoin price series-1

Bitcoin bubbles – dissecting pre and post bubble datasets

Bitcoin Bubbles – A look at pre and post bubble price behavior In a visual history of Bitcoin bubbles we looked price cycles in Bitcoin history and identified three distinct timelines where a Bitcoin price surge was followed by a steep price decline. The most

Comodo SSL