USD JPY FX options convention. For business school students taking the treasury product exam or preparing for a trading desk interview, the USD JPY pair is particularly troublesome. Here is a list of common errors and challenges side by side with four simple examples for
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USD JPY FX options convention. For business school students taking the treasury product exam or preparing for a trading desk interview, the USD JPY pair is particularly troublesome. Here is a list of common errors and challenges side by side with four simple examples for
The post FX Currency Options – The USD JPY FX options convention appeared first on Finance Training Course.
IBNR reserve, Unearned Premium Reserve (UPR) & Premium Deficiency Reserve (PDR) IBNR reserves are a part of claims reserves estimated by insurers for reporting on their financial statements. Claims reserves are estimates of claims that have occurred on or before the financial statement report date
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A brief ‘To-Do’ list for IBNR reserve, Unearned Premium Reserve (UPR) & Premium Deficiency Reserve (PDR) estimation IBNR reserves are a part of claims reserves estimated by insurers for reporting on their financial statements. Claims reserves are estimates of claims that have occurred on or
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In the previous post we reviewed the credit risk requirements under the internal ratings based (IRB) and advanced measurement approaches (AMA). In this post we focus on the various methods to recognize financial collateral in counterparty credit risk calculations. Eligible collateral is used to mitigate
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How does EXCEL calculate DURATION for settlement dates between coupon dates? This was a question posed by one of our readers recently. We have already examined the calculation of Price & Duration when settlement dates equal coupon payments dates in our earlier posts: Macaulay Duration
The post Calculating EXCEL’s Macaulay Duration Between Coupon Payments appeared first on Finance Training Course.
Early November 2016 Fitch placed Deutsche Bank under negative ratings watch for its longer term issuer default, short term issue default viability and debt ratings. This indicates that there is a possibility that Fitch might lower the bank’s ratings if the outlook and results remain
The post Probability of Default: Deutsche Bank – November 2016 appeared first on Finance Training Course.
Applicability & minimum qualifying criteria Applicability criteria The IRB and advanced measurement approaches are applicable to the following financial institutions: Minimum qualifying criteria To be able to use these approaches institutions must meet the following minimum qualifying criteria on an on-going basis. The minimum qualifying
The post Basel III – Capital Adequacy – US Implementation – Credit Risk Weights for Internal Ratings Based and Advanced Measurement Approaches appeared first on Finance Training Course.
Deriving zero rates and forward rates using the bootstrapping process is a standard first step for many valuation, pricing and risk models. Interest rate and cross currency swaps & interest rate options pricing & VaR models, revolving credit facilities & term B loans valuation models,
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The Federal Reserve published revised capital adequacy rules and regulations in July 2013 that follow the Basel III revisions to capital adequacy rules. In particular there are revised minimum capital & leverage ratios, a capital conservation buffer and more stringent criteria for instruments eligible for
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