6 mins read
This post provides a step-by-step walkthrough for calculating PFE for […]
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Author: Agnes
Calculating Real Effective Exchange Rates (REER). A case study.
5 mins read
Calculating REER – Real Effective Exchange Rates for assessing trade competitiveness and relative value
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Goldman Sachs and the 1MDB Scandal
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
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Crude Oil Price Outlook Models – 9 years from 2009 to 2018
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
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Crude Oil Price Outlook 2018 – 2019
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
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Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) – Call, Forward & TARF – Part 2
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
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Pre-settlement Risk (PSR) & Potential Future Exposure (PFE) – Call, Forward & TARF – Part 1
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
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Excel convergence hacks for TARF pricing models
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
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Excel Target Redemption Forward (TARF) Pricing Models – Black Scholes
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
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Target Redemption Forward (TARF) Pricing Models in Excel
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
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