The case for participating forwards This week we took a deep look at a number of common structured products and their hedge effectiveness. One product stood out in terms of its performance – the unconventional participating forward contract. Traditionally when we look at hedging structures
Vanilla options TARF and participating forwards. A case study. There are some common questions that repeatedly get posed in my treasury products class about the variations available within exotic derivative instruments. Are these exotic contracts really needed? Who really benefits from selling these exotic products?
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
Jawwad Farid Financial Risk Management Course for MBA students I am teaching a short week long course on Financial Risk Management at the SP Jain Campus in Dubai. For the next seven days I will work with 30 MBA students and complete a full review
August 2007 – October 2007: Goldman Sachs asks AIG to post additional collateral in view of the falling market value of CDO assets. The insurer posted around $2 billion in collateral up to end-October 2007. November 2007: AIG reports $352 million in unrealized losses on
AIG Financial Productions Corporation (AIG FP) a subsidiary of AIG issued and traded credit default swaps. These non-traditional insurance instruments insured the counterparty in the event of default on collateralized debt obligation payments. The company believed that the risk was very small because they primarily
February 2007: Lehman share price reaches all-time high of $86. 13th March 2007: Stock market suffers largest one-day drop in 5 years on reports that Lehman’s profitability would be significantly impacted because of rising subprime mortgage delinquencies. 14th March 2007: Lehman reports record revenues and
Between 2003 and 2004 Lehman Brothers acquired five mortgage lenders including the subprime originator BNC Mortgage LLC and Alt- A mortgage originator Aurora Loan Services. During the house price bubble these acquisitions contributed to Lehman achieving record revenues and becoming the fastest growing investment bank
Liquidity Risk Management: Bear Stearns Liquidity Run Case Study Timelines 20 December 2007: BS records 4th quarter loss, writes down mortgage assets of $1.9 billion. Sued by Barclays for misleading hedge fund performance 28 December 2007: Employees sell BS stock worth $ 20 million Early
Interest Rate Risk Repricing limits Repricing limits are set for interest rate management. These limits control exposure by controlling the volume or amount of securities that are repriced in a given time period. By staggering the repricing of the securities the company can reduce the