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Tag Archives: Excel


Copulas in Excel. Theoretical foundations.

Building Copulas in Excel. Foundations. Copulas – revisiting the definition. In our first lesson on Copulas in Excel we introduced the concept of marginal (individual) distributions for the two blends of crude oil we are interested in modeling. We also spoke about a joint distribution

Economic Capital - Case Study using Goldman, JP, Wells & Citi datasets

Calculating Economic Capital – A Case Study

Method One Our alternate model for calculating Economic Capital comes in a multiple variation. We do a detailed presentation for method one, followed by smaller posts on each variation. Method one use changes in Shareholders equity as reported in publicly disclosed financial statements to build


Calculating Forward Implied Volatility in Excel

Calculatingforward implied volatility in Excel. For path dependent and forward starting options it is important to assess Vega, the sensitivity of the option’s value to changes in volatility, and in particular to assess these sensitivities for forward buckets. A first step in this process is


Data Analysis Excel. Five tools in 20 minutes

Excel Data Analysis Yesterday I ran a short twenty minute session for 60 civil activists participating in the city’s first civic hackathon. The topic was data analysis in Excel. Here are my notes from the session on data analysis excel. As a data specialist there

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