The positive correlation stress test When it comes to stress testing market portfolios one idea has been finding increasing traction with risk management teams. The 100% positive correlation stress test. The concept is simple. We opt for a diversified portfolio because we want to reduce
The post Stress testing correlation – The positive correlation stress test appeared first on Finance Training Course.
The positive correlation stress test When it comes to stress testing market portfolios one idea has been finding increasing traction with risk management teams. The 100% positive correlation stress test. The concept is simple. We opt for a diversified portfolio because we want to reduce
The post Stress testing correlation – The positive correlation stress test appeared first on Finance Training Course.
Brexit reference for dummies. European Union – a brief history The European Union, previously known as the European Commission and before that as the European Economic Community was formed after World War II in 1957 with the objective of providing support for economies of its
The post The Brexit reference for dummies appeared first on Finance Training Course.
Brexit reference for dummies. European Union – a brief history The European Union, previously known as the European Commission and before that as the European Economic Community was formed after World War II in 1957 with the objective of providing support for economies of its
The post The Brexit reference for dummies appeared first on Finance Training Course.
A guide to reverse stress testing A typical stress test creates a scenario and evaluates how a bank would fare under it. Compared to reverse stress testing, conventional stress tests are used to assure shareholders, regulators and customers that the capital on bank balance sheet
The post A simplified guide to reverse stress testing appeared first on Finance Training Course.
A guide to reverse stress testing A typical stress test creates a scenario and evaluates how a bank would fare under it. Compared to reverse stress testing, conventional stress tests are used to assure shareholders, regulators and customers that the capital on bank balance sheet
The post A simplified guide to reverse stress testing appeared first on Finance Training Course.
Bank Stress Test. A changing model. Bank failures are such a traumatic event for society at large. Think of bank failure and the first few images that come to our mind are tragedy and social upheaval. Pre 2008 our generation had only heard of the
The post The evolution of Bank Stress Test. appeared first on Finance Training Course.
Calculating Economic Capital – Using Leverage ratio So far we have presented two methods for estimating Economic Capital. The first uses the worst case change in Shareholders equity, the second the volatility of the same changes. The challenge with method one and two is that
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Bank Asset Liability Management – Study Guide – 3rd Edition.
The brand new, revised 3rd edition of the ALM Study Guide is out. With 177 pages, 189 figures and illustrations, the new edition weighs in at thrice the size of the 2nd edition and spends more time on building a stronger foundation for […]
A visual history of USD Treasury yield curve shifts – 1978 – 2014.
While we have spent a fair bit of time discussing Asset Liability Management models, we really haven’t spent enough time discussing interest rates. Specifically the historical behavior of US Treasury yield curve. We pose some basic questions and try and answer them […]
