All Risk ManagementPosts

< 1 min read

  1. Kelly’s Criterion, Founders, Startups and Bet size
  2. DNFBPs – Designated Non-Financial Businesses & Professions
  3. FATF Grey List Pakistan – Case Study
  4. Setting risk limits that work
  5. Calculating PFE for IRS using HJM
  6. Getting started with IFRS 9 implementation
  7. Signals in the data. Oil prices, tea leaves and crude price direction.
  8. Goldman Sachs and the 1MDB Scandal
  9. Pakistan banks put hold on 2Checkout export wire transfers ?
  10. Pre-settlement Risk & PFE -Forward & TARF
  11. TARF PSR PFE calculation model
  12. Stress testing correlation – The positive correlation stress test
  13. Hedge effectiveness of vanilla options, TARF & participating forwards
  14. Anti-Money Laundering Programmes – Systems
  15. Anti-Money Laundering Programmes – Regulations
  16. Portfolio Management and Optimization – Sample Exam
  17. Collateral Recognition and Counterparty Credit Risk
  18. Index matching portfolio optimization with Solver
  19. The Brexit reference for dummies
  20. Doha oil output freeze talks. 7 questions for oil trading playbook
  21. RCSA Case study
  22. China Crisis. Oil prices and China dragon roll.
  23. PFE calculation for a simple IRS
  24. Building Copulas in Excel
  25. Ebola market impact
  26. BCBS 239. The new BIS risk data aggregation, risk reporting standard
  27. Bitcoin bubbles – dissecting pre and post bubble datasets
  28. Economic Capital for banking industry
  29. Calculating Economic Capital – Using Leverage ratio
  30. NII in banking vs Economic Value
  31. Operational Risk Management under the Basel accord
  32. ALM’s Purpose and Uses
  33. Yield Curve History – US Treasuries
  34. Understanding Option Greeks – Introducing Gamma
  35. Understanding Alpha or Gamma Rent
  36. Implied volatility and hedge P&L. Mapping P&L distributions
  37. Sign up to review a new book on Option Greeks.
  38. What makes a book? The Preface to Option Greeks Primer
  39. Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
  40. Shadow Gamma Calculation
  41. Five steps to hedging Vega and Gamma exposure in EXCEL
  42. Hedging Vega and Gamma exposure. Lesson Five
  43. Hedging higher order Greeks – Hedging a book of short call options
  44. Hedging higher order Greeks – Solver Solution review
  45. Option Greeks – Building the Excel Solver model for hedging Greeks
  46. Option Greeks. Using Solver to hedge Vega Gamma exposure
  47. Four market risk case studies for your weekend read.
  48. Forward Implied Volatility in EXCEL
  49. Implied and Local Volatility Surfaces in Excel – Final steps
  50. Creating the volatility surface dataset using implied volatilities
  51. The difference between implied and local volatility – volatility surfaces
  52. Volatility surface, deep out of the money options and lottery tickets
  53. Building implied and local volatility surfaces in Excel tutorial – coming soon
  54. A rose by any name…
  55. Is High Frequency Trading (HFT) the same as front running? Michael Lewis makes it official
  56. China Aviation Oil (Singapore) Corporation Limited’s Jet Fuel Scandal (2005) – Casestudy
  57. London Whale – Casestudy and Timeline
  58. Ceylon Petroleum Corporation (CPC) Oil Hedging 2007 – Casestudy
  59. SP Jain EMBA Entrepreneurship Course – Dubai 2014
  60. Models at Work – The new risk text book. Now out in stores
  61. The Market Risk reading list for new hires.
  62. Buy Models at Work now at 50% off before 31st December 2013.
  63. Models at Work – now available for sale on
  64. Is the world more volatile today? Measuring and trading volatility across markets.
  65. Risk Training Courses – Celebrating 1 million page views
  66. Models at Work – The new text book on risk assessment & management
  67. Risk Assessment – From risk exposure to impact.
  68. The new textbook on risk
  69. Risk management. Risk systems for Central Banks.
  70. Risk jobs – Credit vs. Treasury vs. Market Risk roles
  71. Value at Risk for Swaps – Interest Rate & Cross Currency Swaps VaR
  72. Risk training’s new interface for 2013
  73. Trading tips. Setting Stop Loss Limits
  74. Duration and Convexity for US Treasuries
  75. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  76. ALM Modeling – Assumptions, Conventions & Hacks
  77. A regulator looks at Basel II, Basel III & the Financial Crisis – Bull by the Horns by Sheila Bair
  78. The focus on Bank Regulation & Bank Regulators. From Matt Taibbi & Michael Lewis to Senator Warren.
  79. Sea Shells – Another day at the beach
  80. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  81. Financial Risk Management MBA Workshop – Fuel Hedging Case – The Case for and against Jet Fuel Hedging
  82. MonteCarlo Simulation: A introduction to simulating N(d1) and N(d2) in EXCEL
  83. Tracking Correlations: Risk, Trailing correlations, correlation coefficients and Trading decisions
  84. How to calculate Economic value of Equity or market value of Equity at risk
  85. Market Risk Metrics – Sharpe and Treynor Ratios
  86. Market Risk Metrics – Introduction
  87. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  88. ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis