All Risk ManagementPosts

  1. Crypto Risk Review and Assessment – a Framework
  2. Modelling RSU expense in EXCEL
  3. Goldman Interview Q. What is the Third Moment?
  4. Fintech. Financial Innovation. Disruption. IBA.
  5. Your Bitcoin outlook 2021?
  6. A Private Equity Case Study. GEMS Education.
  7. Kelly’s Criterion, Founders, Startups and Bet size
  8. DNFBPs – Designated Non-Financial Businesses & Professions
  9. FATF Grey List Pakistan – Case Study
  10. Setting risk limits that work
  11. Calculating PFE for IRS using HJM
  12. Getting started with IFRS 9 implementation
  13. Signals in the data. Oil prices, tea leaves and crude price direction.
  14. Goldman Sachs and the 1MDB Scandal
  15. Pakistan banks put hold on 2Checkout export wire transfers ?
  16. Pre-settlement Risk & PFE -Forward & TARF
  17. TARF PSR PFE calculation model
  18. Stress testing correlation – The positive correlation stress test
  19. Hedge effectiveness of vanilla options, TARF & participating forwards
  20. Anti-Money Laundering Programmes – Systems
  21. Anti-Money Laundering Programmes – Regulations
  22. Portfolio Management Sample Exam
  23. Dow Jones 20,000. How real is the Trump rally?
  24. Hello stranger! Say Hi to our new support chatbot.
  25. Index matching portfolio optimization with Solver
  26. Probability of Default: Deutsche Bank – November 2016
  27. The Brexit reference for dummies
  28. ILAAP ALM LCR Reports Template Validator
  29. Doha oil output freeze talks. 7 questions for oil trading playbook
  30. Basel III credit risk standardized approach
  31. Copulas in Excel. Theoretical foundations.
  32. Credit Memo. Tips for credit committee presentations
  33. Loan officer skill sets. Between Credit analysts and relationship managers.
  34. Liquidity Gap Implementation Challenges
  35. RCSA Case study
  36. Credit scoring. An alternate approach
  37. China Crisis. Oil prices and China dragon roll.
  38. PFE calculation for a simple IRS
  39. KRI Loss Events. Estimating Operational risk capital. An example.
  40. RCSA – Risk Control Self Assessment
  41. Operational risk management for banks
  42. Farewell, Sabeen
  43. Building Copulas in Excel
  44. Ebola market impact
  45. BCBS 239. The new BIS risk data aggregation, risk reporting standard
  46. Bitcoin economics. Is Bitcoin a currency?
  47. Bitcoin bubbles – dissecting pre and post bubble datasets
  48. A short visual history of Bitcoin bubbles
  49. Economic Capital for banking industry
  50. Calculating Economic Capital – Using Leverage ratio
  51. NII in banking vs Economic Value
  52. Asset Liability Management Training Guide. 3rd Edition.
  53. Operational Risk Management under the Basel accord
  54. ALM’s Purpose and Uses
  55. ALM Strategies – Scenarios & Responses
  56. Yield Curve History – US Treasuries
  57. Understanding Option Greeks – Introducing Gamma
  58. Understanding Alpha or Gamma Rent
  59. Implied volatility and hedge P&L. Mapping P&L distributions
  60. Sign up to review a new book on Option Greeks.
  61. What makes a book? The Preface to Option Greeks Primer
  62. Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
  63. Shadow Gamma Calculation
  64. Five steps to hedging Vega and Gamma exposure in EXCEL
  65. Hedging Vega and Gamma exposure. Lesson Five
  66. Hedging higher order Greeks – Hedging a book of short call options
  67. Hedging higher order Greeks – Solver Solution review
  68. Option Greeks – Building the Excel Solver model for hedging Greeks
  69. Option Greeks. Using Solver to hedge Vega Gamma exposure
  70. Four market risk case studies for your weekend read.
  71. Forward Implied Volatility in EXCEL
  72. Implied and Local Volatility Surfaces in Excel – Final steps
  73. Creating the volatility surface dataset using implied volatilities
  74. The difference between implied and local volatility – volatility surfaces
  75. Volatility surface, deep out of the money options and lottery tickets
  76. Building implied and local volatility surfaces in Excel tutorial – coming soon
  77. A rose by any name…
  78. Is High Frequency Trading (HFT) the same as front running? Michael Lewis makes it official
  79. China Aviation Oil (Singapore) Corporation Limited’s Jet Fuel Scandal (2005) – Casestudy
  80. London Whale – Casestudy and Timeline
  81. Ceylon Petroleum Corporation (CPC) Oil Hedging 2007 – Casestudy
  82. SP Jain EMBA Entrepreneurship Course – Dubai 2014
  83. Models at Work – The new risk text book. Now out in stores
  84. The Market Risk reading list for new hires.
  85. Buy Models at Work now at 50% off before 31st December 2013.
  86. Models at Work – now available for sale on
  87. Is the world more volatile today? Measuring and trading volatility across markets.
  88. Risk Training Courses – Celebrating 1 million page views
  89. Models at Work – The new text book on risk assessment & management
  90. Risk Assessment – From risk exposure to impact.
  91. The new textbook on risk
  92. Calculate value at risk for Bonds
  93. Calculating Value at Risk (VaR) with or without VCV matrix
  94. Data Analysis – Snapshots of an Excel Evangelist
  95. Risk management. Risk systems for Central Banks.
  96. Risk jobs – Credit vs. Treasury vs. Market Risk roles
  97. Value at Risk for Interest Rate & Cross Currency Swaps – EXCEL worksheet overview
  98. Risk training’s new interface for 2013
  99. Trading tips. Setting Stop Loss Limits
  100. Duration and Convexity for US Treasuries
  101. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  102. ALM Modeling – Assumptions, Conventions & Hacks
  103. A regulator looks at Basel II, Basel III & the Financial Crisis – Bull by the Horns by Sheila Bair
  104. The focus on Bank Regulation & Bank Regulators. From Matt Taibbi & Michael Lewis to Senator Warren.
  105. Conditional Value at Risk (CVaR)
  106. Monte Carlo Simulation Model How to – First pass
  107. Sea Shells – Another day at the beach
  108. Incremental VaR & other VaR metrics
  109. Comparing Value at Risk (VaR) Models – VaR, Marginal VaR, Incremental Var & Conditional Var
  110. We are hiring senior developers. Redefine challenge in your dictionary
  111. Liquidity Stress Testing a fixed income securities portfolio
  112. Value at Risk (VaR) for Interest Rate Swap (IRS) & Cross Currency Swap (CCS)
  113. Value at Risk for Swaps
  114. Treasury Risk Training. Limits. Capital Allocation. Risk.
  115. Credit Risk Models -Probability of Default
  116. Barclays Bank – Probability of Default (PD) trend using Merton’s Structured approach
  117. Solved Solution – Value at Risk (VaR) Margin Lending Prime Brokerage Case Study
  118. Value at Risk (VaR) and Margin Lending – The Prime Brokerage case study
  119. Calculating Value at Risk and Asset Liability Management Test bank now live on the Apple iTune store.
  120. Understanding ALM and Calculating Value at Risk iBooks featured on the Apple iTunes store
  121. Risk Assessment Analysis: Exposure and Target Accounts for Risk Hedging
  122. FRM Training: Risk Exposure Estimation. Transcript
  123. The Risk and Finance Rock Star campaigns…
  124. Financial Risk Management Training – Margin Shortfall, Oil Refineries & Crude Oil Hedging – Dubai Transcript
  125. Value at Risk EXCEL Example
  126. Asset Liability Management (ALM) Study Guide for Board Members – coming soon to an iPad near you.
  127. Calculating Value at Risk – Now available on the iPad
  128. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  129. Financial Risk Management MBA Workshop – Fuel Hedging Case – The Case for and against Jet Fuel Hedging
  130. Setting Limits for Treasury Risk : Available online risk limits training courses
  131. MonteCarlo Simulation: A introduction to simulating N(d1) and N(d2) in EXCEL
  132. Selling derivative products to treasury customers: The Treasury Marketing Unit Training series
  133. Technology Head of Operations role: US Based client, offshore team
  134. Who can answer my risk policy, model and frameworks questions?
  135. Gold Price Forecasts: Extending our simple gold price models.
  136. LCF Site update: We are back in business
  137. Five River does Pakistan – Our independence day gift from Lahore, pepperpk, Amir Hussain and Hasan Rizvi
  138. Entrepreneurship: Redux
  139. Ashoka: Everyone is a change maker
  140. Business Analyst, Risk Quant Analyst and Team Lead roles for a US based client
  141. Java Resources and Team Leads required- SQL, Cloud experience
  142. Java Team Lead: SQL, Cloud Experience required: Financial Services Application Development
  143. Java Developers: Financial Services Application Development: SQL, Cloud experience required
  144. Startup School – Entrepreneurship training crash course
  145. Tracking Correlations: Risk, Trailing correlations, correlation coefficients and Trading decisions
  146. VaR Historical Simulation Approach – EXCEL
  147. Grading Entrepreneurial Jedi – May the force be with you…
  148. Portfolio VaR – Variance Covariance Approach using the Short Cut technique – PROOF!!
  149. Portfolio VaR
  150. Earnings at Risk – Asset Liability Management reporting
  151. How to calculate Economic value of Equity or market value of Equity at risk
  152. Market Risk Metrics – Sharpe and Treynor Ratios
  153. Market Risk Metrics – Introduction
  154. Quant & finance jobs: ETL Analyst, Loan Data Modeling
  155. Quant & Finance Programming jobs – Senior and Junior Java Software Engineers
  156. Quant Jobs: Statistical Analyst, Loan Data Modeling.
  157. Enchantment – Persuasion, selling and making a difference for startups by Guy Kawasaki
  158. Finance Training Courses: From Inception (Text) to version 3.0 (Finance training videos):
  159. Quant Training Videos: Value at Risk, Option Pricing, Monte Carlo Simulation and N(d1)
  160. Risk Training Videos – Audience Profile
  161. Book Review: The Big Short: Inside the Doomsday Machine by Michael Lewis
  162. Emerging and Frontier Market Bonds – Attractive Yields on Euro Dollar Bonds
  163. Finance Training Videos – The Online Quant Crash Course comes to town – Quantitative Training for the non-Quant.
  164. Online Quant Crash Course: Pre-course announcement
  165. The Quant Crash Course: Finance Training Course introduces the Quant Crash Course online video training series
  166. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  167. Startup and Reboot Chat – PMI Karachi Chapter Event – 1st Feb 2011
  168. Book review: The (Mis) Behavior of Markets: A Fractal View of Risk, Ruin and Reward
  169. Finance Training Courses – Exotics Financial Topics, Exotic Tropical Locations
  170. Setting Limits: Interest Rate Risk Management
  171. Counterparty Risk Limits: Pre-settlement Risk and Settlement Risk
  172. Limits: Trading Limits – Duration, Convexity and PVBP Limits
  173. Setting Limits: Value at Risk and Regulatory Approach Limits
  174. Actuarial Mathematics – Development of Commutation Functions
  175. Finance Careers: A tale of two startups
  176. Career choices: From banking and consulting to Startup land in southern California
  177. Career Choices: From Columbia to Goldman and back – Switching from consulting to investment banking …
  178. Career Guidance: The choices I have made – my early professional consulting career
  179. Finance Training Course: WACC, Beta, Cost of Capital posts review
  180. December Traffic update: It is down with a capital D…
  181. Basel III: Enhancements to Basel II: Firm-specific changes
  182. Terminating security interest in collateral
  183. Enforcement of Security Interest in Collateral
  184. Collateral Management of Security Interest
  185. Security Interest in Collateral
  186. 20,000 page views, Eight thousand visitors and 200 dollars in revenues – Corporate Finance Blog, November update
  187. How to conduct a Principal Component Analysis in EXCEL – Solver Setup & Results
  188. How to conduct a Principal Component Analysis in EXCEL – Diagonal Matrix
  189. How to conduct a Principal Component Analysis in EXCEL – Eigenvectors
  190. How to conduct a Principal Component Analysis in EXCEL – Covariance Matrix
  191. How to conduct a Principal Component Analysis in EXCEL – Data
  192. Principal Component Analysis – Overview
  193. Building an HJM Model in EXCEL – Determine Prices
  194. Corporate Finance Training Course Guide Road Map
  195. Building an HJM Model in EXCEL – Define calculation cells
  196. Building an HJM Model in EXCEL – Define input cells
  197. CIR Model Parameter Estimation
  198. Interest Rate Forecasting using CIR Model – Introduction
  199. Forecasting Interest Rates and Applications workshop: December 28th, 29th
  200. Introducing the ICAAP (Internal Capital Adequacy Assessment Process) excel template
  201. Editor Profile – Jawwad Farid
  202. Business Plan Cheat Sheet – Two business plans up for a half baked sale
  203. Small Business Credit Training: Resource guide
  204. Management Case Studies – Resources & Guides
  205. Business School Admissions: Masters Program Applicant Resource
  206. Setting Risk Limits-Counterparty, Pre-settlement Risk (PSR) and Trading Limits.
  207. Setting up Treasury Limits: Working with Stop Loss Limits
  208. Defining Treasury Limits: Limits Control and Business Processes
  209. Setting Treasury Risk Limits: Defining Risk Appetite, control limits and limit breaches
  210. Accounting for Trading profits: Inventory valuation models and determination of trading gains and losses
  211. is now live
  212. Actuarial Mathematics – Introduction to Commutation Functions
  213. Learning Corporate Finance gets a new home
  214. Learning Corporate Finance – APICTA and Manthan Awards nominations
  215. Feedback is a gift: Help us win at APICTA, the Delhi Manthan Awards and more
  216. Treasury products & operations – Treasury products & operations simulation workshop
  217. Middle Office Review: Middle Office External review and audit
  218. Middle Office review: Middle Office Target state vs. Middle Office current state analysis
  219. Basel Gap Analysis
  220. Middle Office Review: Sample Middle Office Assessment and review report
  221. Middle Office review: Sample middle office gap analysis report
  222. Value at Risk for dummies: 9 simple rules for risk management – the Risk Metrics campaign
  223. Online MBA Resources: Writing content for online finance courses
  224. Challenges with Value at Risk
  225. Online MBA Reference: Corporate Finance Courses gets a make over
  226. Risk Management: Sample Board Risk Policy document and Risk Policy table of content
  227. Online Finance courses – Top finance courses at the Finance e-education portal
  228. Learning Corporate Finance – Now a Technorati Top 100 Finance blog
  229. Online Finance – Building a business case for risk management
  230. The Alchemy Risk Management Solution Matrix
  231. Forecasting the Monetary Policy Decision – A second look at rate cut and rate hike simulation – Econ 101
  232. FAS 157 – Fair value accounting and Level 3 assets
  233. ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis
  234. Calculating Value at Risk – Calculation reference
  235. Online Finance – Good and Bad bosses – A review of leadership trends across the decades
  236. Pricing Commodity linked notes
  237. Pricing Range Accrual Notes – Extending the cap floor functions
  238. Start up crash course – Reading assignments
  239. Finance-Calculating Value at Risk – Caveats, qualifications, issues
  240. Value at Risk EXCEL Guide
  241. Calculating Value at Risk – Approach Specific Steps
  242. Calculating Value at Risk – Data & Return Series
  243. VaR Methods – Calculating Value at Risk
  244. Value at Risk Calculation – Introduction
  245. ODP & Staples Case Study: Comparative Ratio Analysis