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 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
 Interest Rate Forecasting
 Will Basel III Kill Credit Models?
 Principles for the Management of Credit Risk – consultative document
 Market risk officers are overstretched, does anyone care?
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Market risk officers are overstretched, does anyone care?
Originally posted on Stonegate Search:
Throughout every sellside 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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Tagged Basel II, Basel III, Basis Risk, Beta, Capital Adequacy Ratio, CFA, Derivative (finance), Financial Markets, Financial risk, Financial risk modeling, FRM, Islamic Banking, Liquidity Risk, Market risk, mathematical finance, middle office, PRM, Regulation, Value at risk
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Swaps: Interest rate swap duration Interest rate swaps have a duration?
Multiasset risk measures. We study risk measures for financial positions in a multiasset setting, representing the minimum amount of capital to raise and invest in eligible portfolios of traded assets in order to meet a prescribed acceptability constraint. We investigate … Continue reading