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. TARF PSR PFE Model in Excel – Part II
  11. TARF PSR PFE Exposure 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 calculations 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. Asset Liability Mismatch
  31. NII in banking vs Economic Value
  32. Operational Risk Management under the Basel accord
  33. ALM’s Purpose and Uses
  34. Yield Curve History – US Treasuries
  35. Understanding Option Greeks – Introducing Gamma
  36. Understanding Alpha or Gamma Rent
  37. Implied volatility and hedge P&L. Mapping P&L distributions
  38. Sign up to review a new book on Option Greeks.
  39. What makes a book? The Preface to Option Greeks Primer
  40. Gamma Correction, Delta Hedging P&L & Rebalancing Frequency
  41. Calculating Shadow Gamma – Taleb’s approach for the second order option Greek.
  42. Five steps to hedging Vega and Gamma exposure in EXCEL
  43. Hedging Vega and Gamma exposure. Lesson Five
  44. Hedging higher order Greeks – Hedging a book of short call options
  45. Hedging higher order Greeks – Solver Solution review
  46. Option Greeks – Building the Excel Solver model for hedging Greeks
  47. Option Greeks. Using Solver to hedge Vega Gamma exposure
  48. Four market risk case studies for your weekend read.
  49. Calculating Forward Implied Volatility in Excel
  50. Implied and Local Volatility Surfaces in Excel – Final steps
  51. Creating the volatility surface dataset using implied volatilities
  52. The difference between implied and local volatility – volatility surfaces
  53. Volatility surface, deep out of the money options and lottery tickets.
  54. Building implied and local volatility surfaces in Excel tutorial – coming soon
  55. A rose by any name…
  56. Is High Frequency Trading (HFT) the same as front running? Michael Lewis makes it official
  57. China Aviation Oil (Singapore) Corporation Limited’s Jet Fuel Scandal (2005) – Casestudy
  58. London Whale – Casestudy and Timeline
  59. Ceylon Petroleum Corporation (CPC) Oil Hedging 2007 – Casestudy
  60. SP Jain EMBA Entrepreneurship Course – Dubai 2014
  61. Models at Work – The new risk text book. Now out in stores
  62. The Market Risk reading list for new hires.
  63. Buy Models at Work now at 50% off before 31st December 2013.
  64. Models at Work – now available for sale on Amazon.com
  65. Is the world more volatile today? Measuring and trading volatility across markets.
  66. Risk Training Courses – Celebrating 1 million page views
  67. Models at Work – The new text book on risk assessment & management
  68. Risk Assessment – From risk exposure to impact.
  69. The new textbook on risk
  70. Risk management. Risk systems for Central Banks.
  71. Risk jobs – Credit vs. Treasury vs. Market Risk roles
  72. Value at Risk for Swaps – Interest Rate & Cross Currency Swaps VaR
  73. Risk training’s new interface for 2013
  74. Trading tips. Setting Stop Loss Limits
  75. Bond Duration Convexity calculations for US Treasuries
  76. Risk Models, Option pricing & Bank Regulation training – 2013 guide
  77. Asset Liability Management Models – Assumptions, Convention & Hacks
  78. A regulator looks at Basel II, Basel III & the Financial Crisis – Bull by the Horns by Sheila Bair
  79. The focus on Bank Regulation & Bank Regulators. From Matt Taibbi & Michael Lewis to Senator Warren.
  80. Sea Shells – Another day at the beach
  81. Probability of Shortfall and Expected Shortfall with or without Basel III – Financial Risk Management Training Course – Day Three Update
  82. Financial Risk Management MBA Workshop – Fuel Hedging Case – The Case for and against Jet Fuel Hedging
  83. MonteCarlo Simulation: A introduction to simulating N(d1) and N(d2) in EXCEL
  84. Tracking Correlations: Risk, Trailing correlations, correlation coefficients and Trading decisions
  85. Economic value of equity – Asset Liability Management reporting
  86. Market Risk Metrics – Sharpe and Treynor Ratios
  87. Market Risk Metrics – Introduction
  88. Liquidity Risk Management Case Study: Bear Stearns – June 2007 to 16th March 2008
  89. ALM reports – Rate Sensitive Gaps, Earnings at Risk, Cost to Close, MVE Analysis