Monthly Archives: August 2013

Will Basel III Kill Credit Models?   Basel III, with its requirement that banks risk-weight their assets to calculate their capital levels, will bring about sweeping changes in the way banks assess the credits on their books. Banks may need … Continue reading

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Principles for the Management of Credit Risk – consultative document   While financial institutions have faced difficulties over the years for a multitude of reasons, the major cause of serious banking problems continues to be directly related to lax credit … Continue reading

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Market risk officers are overstretched, does anyone care?

Originally posted on Stonegate Search:
Throughout every sell-side market risk function I know pretty much every Managing Director (or equivalent) has been complaining about the amount of time they have to spend dealing with regulators. At first it was a…

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Duration and Portfolio Immunization Duration and Portfolio Immunization. Macaulay duration … Example. Bond Market value Portfolio weight Duration. A $10 million 0.10 4. B $40 million 0.40 7.

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Swaps: Interest rate swap duration Interest rate swaps have a duration?

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Risk management and compliance for hedge funds migrate to the front office – Risk.net

Risk management and compliance for hedge funds migrate to the front office – Risk.net.

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Knock Knock Knock or Tap Tap Tap?

Originally posted on Relativemoney's Blog:
We can debate hours about the good the bad and the ugly  of the monetary policies implemented by the ECB, the BOJ and the FED the last few years. Anyway, what we need to…

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