Portfolio Alpha stability and portfolio optimization models Stability and robustness of portfolio Alphas – the excess return metric – and its implication for portfolio allocation and optimization models – a short thesis on portfolio alpha stability. How stable is your portfolio alpha – introducing alpha

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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) 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.

Market Analysis Crude Oil Crude oil prices remained bearish throughout the week primarily based upon news on IEA report on enhanced demand for 2H 2017, import growth in China, weaker USD, EIA inventory data plus force majeure declaration from Nigeria and trading covering their short

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Market Analysis Crude Oil Crude oil gained strength in the first two days of the week primarily on US dollar strength and firmer than expected data from China’s PMI Index. However crude prices afterwards moved south based upon concerned about over supply situation, with OPEC

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Startup Founders and Standup Comedy in Karachi. Of all the startups incubated at the Nest.io there is one that stole and broke my heart. Adil and Junaid Malik, both graduates of Nimal College, Mianawali moved to Karachi to follow their dream of building a technology

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Market Analysis Crude Oil Crude oil gained strength during the week, after displaying a poor run last week, with Brent jumped by 4.93% from last Friday and closed at $47.92 whereas WTI closed at 46.04/BBL an increase by $0.38/BBL. Supply fundamental remained the same as

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Market Analysis Crude Oil Crude oil remained weak during the week with WTI closed at $43.10/BBL and Brent closed at $45.66/BBL on Friday, a decrease of 3.67% on Brent. The bearish tone is primarily due to the fact that OPEC cut is proving ineffective as

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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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