Bank Asset Liability Management (ALM) – A quick review of default ALM strategies.
In our last post we looked at a history of US Treasuries yield curve shifts between 1978 and 2010.
We now move to a simplified analysis of the maturity distribution of assets and liabilities on a bank balance sheet in anticipation of expected yield […]
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 […]
Testing Facebook Fan page reach versus Google+ conversions
Tired of reviewing, writing and editing content over the last 6 weeks, this weekend I decided to run a slightly skewed social experiment. I had always wondered about the practical reach of my social network fan pages and over the month of June I had been tweaking my […]
Understanding Option Greeks – Introducing Gamma
Gamma is the second derivative of the option price with respect to the price of an underlying asset. Alternatively, it is the rate of change in the option Delta due to a change in the underlying asset price.
Figure 1: Gamma against Spot
What does that mean in simpler language?
In the image […]
The startup scene in Karachi.
I came back home (Karachi) in 2003 and for a list of odd reasons decided to decline two respectable offers to shift to startup mode again.
The first two years were a slog. The network I had left when I headed to the US in the ’90′s had grown in prominence and […]
Alpha, Fair Alpha or Gamma Rent.
N. N. Taleb explains Alpha or the Gamma Rent, in his book Dynamic Hedging, as ‘Theta per Gamma ratio’. At first the concept is quite difficult to grasp but when we reduce the risk free rate and the dividend yield rate to zero, the equation starts to become more edible.
Equation
In […]
The daisy fields of Nathiagali. The recipe for a perfect break from civilization.
Every few years we get together to bring all the kids under one roof in Nathiagali. The week long break is defined by morning and evening walks where the kids ride horses and the adults trek. There is nothing like sitting on a grassy […]
Risk Training’s new interface for 2013 We asked, you answered, we delivered. Based on your feedback, the absolutely essential Google page analytics tool and our friends at Pingdom.com we have been hard at work for the last few months. You, dear readers, asked us to deliver:A faster, more responsive site. More focus on risk, risk training and risk […]
Setting Stop Loss Limits – limit review triggers and back testing. In our case study on setting stop loss limits we reviewed stop loss limit estimates for Oil, Gold and Silver futures trading. In this post we will take a look at market based triggers that should lead to a review of stop loss limits.Changing Volatility Frequency […]
700 risk model training pdf and excel downloads later.A year ago, just before the ids of March kicked off we booked our biggest month of sales. While FinanceTrainingCourse.com had evolved and grown ever since its humble beginning as a wordpress blog, last year was special. We had scrounged to put together a workable budget for […]