Editors Choice

VaR Historical Simulation Approach – EXCEL

5 mins read 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.

Liquidity Risk Monitoring

2 mins read Besides the two supervisory standards proposed in the Basel III liquidity reforms, the liquidity framework also presents 5 metrics that

Net Stable Funding Ratio

3 mins read In our previous posts, we had addressed the Liquidity Coverage Ratio, the short term resilience liquidity standard to be introduced


Difference between N(d1) and N(d2)

3 mins read 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