TARF Pricing model guide Our new eight part series on TARF Pricing model guide is now live. The objective of the pricing model guide is to introduce both product features and behavior as well as pricing approaches to this common FX structure that can now
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The case for participating forwards This week we took a deep look at a number of common structured products and their hedge effectiveness. One product stood out in terms of its performance and that was the unconventional participating forward contract. Traditionally when we look at
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Teaching computational finance to ordinary mortals. Time sure flies when you are having fun. It’s been 7 years and change since we first started this project as an experiment. An initial dump of class notes for my students that over time grew into eleven hundred
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Teaching computational finance to ordinary mortals. Time sure flies when you are having fun. It’s been 7 years and change since we first started this project as an experiment. An initial dump of class notes for my students that over time grew into eleven hundred
The post Celebrating 7 years of decoding computational finance. 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
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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.
TARF Hedge effectiveness model. This is our second post in the TARF hedge effectiveness series and in the treasury candidates assessment series case. To catch up with the case please see the original TARF case study that defines the client requirement as well as available
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TARF Hedge effectiveness model. This is our second post in the TARF hedge effectiveness series and in the treasury candidates assessment series case. To catch up with the case please see the original TARF case study that defines the client requirement as well as available
The post TARF hedge effectiveness model appeared first on Finance Training Course.
Portfolio Management final exam We have now run three batches of portfolio management students at two different executive MBA program. The next batch will most likely be at the SP Jain Dubai campus in early July, 2017. Here is a second sample for portfolio management final
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Synthetic CDO – The Goldman Mike Burry Big Short Trade Before the 2008 financial crisis the incentive for investors to buy mortgage backed securities was simple. For roughly the same implied credit risk as US sovereign risk you had the option to earn excess returns.
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