Tag Archives: Market risk

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       .

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

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

Buy Vs. Sell-Side Risk Information : Time to Differentiate between “Your Risk” and “My Risk” Reports ….

Well we all are accustomed to reading “Buy” and “Sell-Side” Investment Evaluation Reports prepared by Financial Research Analysts at various FIs such as Investment Companies operating in the Financial Markets. However there seems to be very little focus on developing … Continue reading

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

Comparison between Basel II/III and Solvency II   The aim of this paper is to conduct a comprehensive but concise in-depth comparison between Basel II/III and Solvency II

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