Category Archives: Uncategorized

Differentiation of Market Risk Characteristics among Sharia Compliant and Conventional Equities listed on the Pakistani Capital Market – KSE 100 Index over a selective time period       . Advertisements

Link | Posted on by | Tagged | Leave a comment

Interest Rate Forecasting Forecasting Interest Rates. Structural models are an attempt to determine causal relationships between various economic …

Link | Posted on by | Tagged | 1 Comment

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

Link | Posted on by | 2 Comments

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

Link | Posted on by | Tagged , , , , , , , , , , , , , | Leave a comment

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…

Posted in Uncategorized | Tagged , , , , , , , , , , , , , , , , , , | Leave a comment

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.

Link | Posted on by | Tagged , , , , , , , , , , , , , , , | Leave a comment

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

Link | Posted on by | Tagged , , , , , , , , , , , , , , , , | Leave a comment