Historic Yield Curves and US Recession
8 mins read Is an upcoming US recession eminent? What do historic yield curves, corporate profits and other data points tell us? Take a look.
Setting risk limits that work
17 mins read As traders we spend a great deal of time trying to make sense of risk limits. But where do risk limits come from? How can we tell if they are broken or if they work? What is the right way of setting risk limits that work.
Pakistan Sukuk bonds priced at 5.625 and 6.875 for 5 and 10 year maturity
2 mins read Pakistan Dual Trancher On Wednesday, Nov 29th, Pakistan (B3/B) successfully priced a US$2.5bn dual tranche Sukuk bond offering comprised of:
Portfolio alpha stability and allocation optimization models.
6 mins read Stability and robustness of portfolio Alphas – the excess return metric – and its implication for portfolio allocation and optimization
Excel convergence hacks for TARF pricing models
3 mins read Convergence between closed form and simulation model prices is enhanced with variance reduction procedures. It encourages model extension to complex
TARF Pricing model guide now live
2 mins read Our new eight part series on TARF Pricing model guide is now live. The objective of the pricing model guide