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Tag Archives: risk management

FRM Training: Risk Exposure Estimation. Transcript

Financial Risk Exposure Estimation. Core themes Welcome to our collection of risk management exposure estimation course lecture transcripts. I teach a week long training course on Financial Risk Management at the SP Jain Campus in Dubai and Singapore. This transcript is an effort to share

Barclays Bank probability of default

The LIBOR Crisis Barclays Bank.

LIBOR Crisis Barclays Bank LIBOR: What is LIBOR? LIBOR is the abbreviation for London Inter Bank Offer Rate. This is the interest rate which banks charge for lending to each other. Although LIBOR changes throughout the day, the formal or published LIBOR is fixed once a

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Selling Treasury Derivative products: Estimating client exposure to crude oil price volatility

This is the transcript from the video recording for session three of selling treasury products where we use the case study of an oil refinery to show how to translate impact of crude oil price volatility into P&L and margin impact. This impact forms the basis for exposure estimation used to suggest an oil price hedging solution to a customer impacted by a change in crude oil prices.

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Market Risk Metrics – Volatility Trend Analysis

Trailing volatility or Volatility Trend Analysis Trailing Volatility or volatility Trend Analysis is the analysis of volatility trend lines. Volatility tends to behave in cycles. Rising volatility ultimately leads to a reversal and vice versa. The volatility trend line is a graphical representation of the

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