All Risk ManagementPosts

  1. Signals in the data. Oil prices, tea leaves and crude price direction.
  2. Goldman Sachs and the 1MDB Scandal
  3. Pakistan banks put hold on 2Checkout export wire transfers ?
  4. TARF PSR PFE Model in Excel – Part II
  5. TARF PSR PFE Exposure calculation model
  6. Stress testing correlation – The positive correlation stress test
  7. Hedge effectiveness of vanilla options, TARF & participating forwards
  8. Anti-Money Laundering Programmes – Systems
  9. Anti-Money Laundering Programmes – Regulations
  10. Portfolio Management and Optimization – Sample Exam
  11. Collateral Recognition and Counterparty Credit Risk
  12. Index matching portfolio optimization with Solver
  13. The Brexit reference for dummies
  14. Doha oil output freeze talks. 7 questions for oil trading playbook
  15. RCSA Case study
  16. China Crisis. Oil prices and China dragon roll.
  17. Potential Future Exposure – PFE Calculations for a simple IRS
  18. Operational risk management for banks
  19. Building Copulas in Excel
  20. Ebola market impact
  21. BCBS 239. The new BIS risk data aggregation, risk reporting standard
  22. Bitcoin bubbles – dissecting pre and post bubble datasets
  23. Economic Capital for banking industry
  24. Calculating Economic Capital – Using Leverage ratio
  25. Asset liability mismatch – NII, Earnings, gaps, asset & liability sensitivity
  26. Net Interest Income (NII) vs Economic Value (EVE)
  27. Operational Risk Management under the Basel accord
  28. Asset Liability Management? Why do we need it, how do we use it?
  29. Bank Asset Liability Management (ALM) – A quick review of ALM strategies
  30. A visual history of US Treasury yield curve shifts from 1978 – 2014
  31. Understanding Option Greeks – Introducing Gamma
  32. Understanding Alpha or Gamma Rent
  33. Implied volatility and hedge P&L. Mapping P&L distributions
  34. Sign up to review a new book on Option Greeks.
  35. What makes a book? The Preface to Option Greeks Primer
  36. Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
  37. Calculating Shadow Gamma – Taleb’s approach for the second order option Greek.
  38. Five steps to hedging Vega and Gamma exposure in EXCEL
  39. Hedging Vega and Gamma exposure. Lesson Five
  40. Hedging higher order Greeks – Hedging a book of short call options
  41. Hedging higher order Greeks – Solver Solution review
  42. Option Greeks – Building the Excel Solver model for hedging Greeks
  43. Option Greeks. Using Solver to hedge Vega Gamma exposure
  44. Four market risk case studies for your weekend read.
  45. Calculating Forward Implied Volatility in Excel
  46. Implied and Local Volatility Surfaces in Excel – Final steps
  47. Creating the volatility surface dataset using implied volatilities
  48. The difference between implied and local volatility – volatility surfaces
  49. Volatility surface, deep out of the money options and lottery tickets.
  50. Building implied and local volatility surfaces in Excel tutorial – coming soon
  51. Gold forecast. Is Gold still over valued in 2014?
  52. A rose by any name…
  53. Is High Frequency Trading (HFT) the same as front running? Michael Lewis makes it official
  54. China Aviation Oil (Singapore) Corporation Limited’s Jet Fuel Scandal (2005) – Casestudy
  55. London Whale – Casestudy and Timeline
  56. Ceylon Petroleum Corporation (CPC) Oil Hedging 2007 – Casestudy
  57. SP Jain EMBA Entrepreneurship Course – Dubai 2014
  58. Models at Work – The new risk text book. Now out in stores
  59. The Market Risk reading list for new hires.
  60. Buy Models at Work now at 50% off before 31st December 2013.
  61. Models at Work – now available for sale on
  62. Is the world more volatile today? Measuring and trading volatility across markets.
  63. Risk Training Courses – Celebrating 1 million page views
  64. Models at Work – The new text book on risk assessment & management
  65. Risk Assessment – From risk exposure to impact.
  66. The new textbook on risk
  67. Risk management. Risk systems for Central Banks.
  68. Risk jobs – Credit vs. Treasury vs. Market Risk roles
  69. Value at Risk for Swaps – Interest Rate & Cross Currency Swaps VaR
  70. Risk training’s new interface for 2013
  71. Trading tips. Setting Stop Loss Limits
  72. Bond Duration Convexity calculations for US Treasuries
  73. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  74. Asset Liability Management Banking Models – Assumptions, Convention & Hacks
  75. A regulator looks at Basel II, Basel III & the Financial Crisis – Bull by the Horns by Sheila Bair
  76. The focus on Bank Regulation & Bank Regulators. From Matt Taibbi & Michael Lewis to Senator Warren.
  77. Sea Shells – Another day at the beach
  78. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  79. Financial Risk Management MBA Workshop – Fuel Hedging Case – The Case for and against Jet Fuel Hedging
  80. MonteCarlo Simulation: A introduction to simulating N(d1) and N(d2) in EXCEL
  81. Tracking Correlations: Risk, Trailing correlations, correlation coefficients and Trading decisions
  82. Economic value of equity – Asset Liability Management reporting
  83. Market Risk Metrics – Sharpe and Treynor Ratios
  84. Market Risk Metrics – Introduction
  85. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  86. ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis