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This post provides a step-by-step walkthrough for calculating PFE for […]
5 mins read
Calculating REER – Real Effective Exchange Rates for assessing trade competitiveness and relative value
The post Calculating Real Effective Exchange Rates (REER). A case study. appeared first on FinanceTrainingCourse.com.
Between 2012 and 2013 Goldman Sachs helped raise US$ 6.5 billion over three bond sales for 1Malaysia Development Berhad (1MDB). 1MDB was the strategic investment and development company that was wholly-owned and controlled by the Government of Malaysia through its Ministry of Finance. Goldman Sachs
A History of crude oil price drivers Over time we have analyzed the trend in crude oil prices and its various drivers and made forecasts about the direction that prices would take in the future. This post presents a review of the drivers and avenues
The post Crude Oil Price Outlook Models – 9 years from 2009 to 2018 appeared first on Finance Training Course.
Introduction Crude oil prices have been falling steadily after reaching a four year high of $86.07 (Brent) in early October 2018. In this post, we look at six drivers to gauge the direction that crude oil price will be taking in the coming months of
This is the second in the series on the calculation of Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) for FX derivatives. We extend the model we used to calculate the PSR & PFE risk measures for a call option to a forward contract and
The post Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) – Call, Forward & TARF – Part 2 appeared first on Finance Training Course.
Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) are calculated to assess counterparty credit risk for derivative transactions. PSR calculates the risk of a counterparty default at a static point in time while PFEs assess the risk over the life time of the transaction. The
The post Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) – Call, Forward & TARF – Part 1 appeared first on Finance Training Course.
Excel convergence hacks for TARF pricing models. Convergence between closed form and simulation model prices is enhanced with variance reduction procedures. It encourages model extension to complex products. For our TARF pricing model in its original form convergence is a challenge. We will try and
Excel TARF Pricing Models – Black Scholes approach Our alternate Excel TARF Pricing model uses the Black Scholes close form solution to find a price. The TARF contract described in the product term sheet above is equal to having a series of forward contracts that
The post Excel Target Redemption Forward (TARF) Pricing Models – Black Scholes appeared first on Finance Training Course.
TARF Pricing Models Our two part series on TARF pricing models begins where we stopped with our analysis on TARF hedge effectiveness. We cover both vanilla TARF (without any path dependent options) and Knock in Knock out (KIKO) TARF’s in that discussion. In this post
The post Target Redemption Forward (TARF) Pricing Models in Excel appeared first on Finance Training Course.