Risk management, risk assessment, risk exposure and risk models.

Signals in the data. Oil prices, tea leaves and crude price direction.

5 mins read What does the data say about future direction of crude oil markets. We look at OPEC spare…

January 19, 2019

Goldman Sachs and the 1MDB Scandal

How Goldman Sachs is being held accountable for its role in the 1MDB scandal Between 2012 and 2013 Goldman Sachs…

November 27, 2018

Pakistan banks put hold on 2Checkout export wire transfers ?

TL;DR; Pakistani banks refuse to process wire transfers sent by payment gateways and aggregators. During an ongoing balance of payment…

November 23, 2018

TARF PSR PFE Model in Excel – Part II

This is the second in the series on the calculation of Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) for…

July 19, 2017

TARF PSR PFE Exposure calculation model

Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) are calculated to assess counterparty credit risk for derivative transactions. PSR calculates…

July 19, 2017

Stress testing correlation – The positive correlation stress test

When it comes to stress testing market portfolios one idea has been finding increasing traction with risk management teams.  The…

June 18, 2017

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