Jawwad Farid Calculating Exposures for Risk Hedging. Approaching risk assessment, analysis and estimation When we talk about exposure, it has three dimensions for us. It is uncertain, volatile, and has a measurable financial impact. In Air Canada’s case, the exposure is to the following 3
Calculating Value at Risk. Lecture transcript. Part II. Dubai. Please see the Financial Risk Management Training Course page for background, related transcripts, resources and downloads. Figure 1 Risk Management Workshop: Action plan Risk Management: Volatility, Value at Risk (VaR) Now to our Action Plan. Today we
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
Jawwad Farid Asset Liability Management (ALM) is the primary source of directors and senior executive grief at bank board meetings. The reporting is standard, the numbers concise but the terminology (despite many years of usage) is still exotic and confusing. The work that we have
Danish is a recent hire in our risk management practice. Some of you know him as the author of our recent Barclay Libor crisis commentary. An under training and aspiring actuary he decided to take a leap of faith and switch to risk management from
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
Taking VaR to the next level – Shortfall approach and Jet Fuel Hedging On day one of our risk management course we completed a quick review of basic financial risk concepts. The objective was to introduce the relevant tools and frameworks we could use for
How to determine Spot Rates and Forward Rates & Yield to Maturity How to determine Forward Rates from Spot Rates The relationship between spot and forward rates is given by the following equation: ft-1, 1=(1+st)t ÷ (1+st-1)t-1 -1 Where st is the t-period spot rate
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.
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