Implied volatility and relative hedging P&L. Four scenarios to set things right. We go back to a simple world where implied volatility can take four possible values. 10%, 20%, 30% and 40%. As a trading desk we can write and sell options at each of
Market risk case studies April was a great months for putting together case studies around market risk. We managed to do three before we ran out of steam and had to include our review of Michael Lewis’ Flash boys in the list. Technically speaking Flash
Enterprise Risk Management – Chicago Symposium – Highlights. Day One – ERM Pre Seminar – Forecasting Extreme Events Professor Guntram is really upset at Nassim Taleb. Nassim’s logic has never been perfect but he speaks from his heart as a practitioner. I can relate to
Value at Risk for Interest Rate & Cross Currency Swaps – EXCEL worksheet overview The Historical Simulation approach has become the default approach for us to work with when it comes to non liquid securities linked to liquid primary markets. Long dated cross currency and
Risk Models, Option Pricing & Bank Regulation training for practitioners A typical MBA program allows a candidate to take a maximum of two Derivative pricing courses. Most candidates do a review of basic products in their core courses followed by a specialized course focused on
Seven new risk and investment management case studies – Free Step by step guides to VaR, ALM, Greeks & Monte Carlo Simulation ..
Seven new free risk and portfolio management case studies – Value at Risk, ALM, Greeks & Monte Carlo Simulation tweaks We have been busy over the last three months. As part of the effort around the re-launch of FinanceTrainingCourse.com website on Amazon Web Services and