Value at Risk Calculations using Matrices and Monte Carlo Simulations
Value at Risk Calculations using Matrices and Monte Carlo Simulations
When assessing the value at risk of groups of assets in a portfolio, complex correlations and variances are calculated, which must then be interpreted into a VAR number that makes sense. Variance/covariance matrixes are useful in multi-asset portfolios, so it is important to understand the matrices and their uses. An advantage of the covariance/matrix approach is that the calculation captures
More DetailsEnquire NowWhen assessing the value at risk of groups of assets in a portfolio, complex correlations and variances are calculated, which must then be interpreted...
Value at Risk Calculations using Matrices and Monte Carlo Simulations
When assessing the value at risk of groups of assets in a portfolio, complex correlations and variances are calculated, which must then be interpreted into a VAR number that makes sense. Variance/covariance matrixes are useful in multi-asset portfolios, so it is important to understand the matrices and their uses. An advantage of the covariance/matrix approach is that the calculation captures
More DetailsEnquire Now
Value at Risk Calculations using Matrices and Monte Carlo Simulations
When assessing the value at risk of groups of assets in a portfolio, complex correlations and variances are calculated, which must then be interpreted into a VAR number that makes sense. Variance/covariance matrixes are useful in multi-asset portfolios, so it is important to understand the matrices and their uses. An advantage of the covariance/matrix approach is that the calculation captures
More DetailsEnquire Now
Value at Risk Calculations using the Mean Variance/Covariance Method
Value at Risk Calculations using the Mean Variance/Covariance Method
The three standard approaches to calculating Value at Risk (VaR) are the mean variance/covariance method, the historical simulation method, and the Monte Carlo simulation method. This learning unit focuses on the mechanics and application of the mean variance/covariance method and makes comparisons to the historical and Monte Carlo simulations methods. The mean variance/covariance approach uses three steps: analyze potential volatility,
More DetailsEnquire NowThe three standard approaches to calculating Value at Risk (VaR) are the mean variance/covariance method, the historical simulation method, and the Monte Carlo simulation...
Value at Risk Calculations using the Mean Variance/Covariance Method
The three standard approaches to calculating Value at Risk (VaR) are the mean variance/covariance method, the historical simulation method, and the Monte Carlo simulation method. This learning unit focuses on the mechanics and application of the mean variance/covariance method and makes comparisons to the historical and Monte Carlo simulations methods. The mean variance/covariance approach uses three steps: analyze potential volatility,
More DetailsEnquire Now
Value at Risk Calculations using the Mean Variance/Covariance Method
The three standard approaches to calculating Value at Risk (VaR) are the mean variance/covariance method, the historical simulation method, and the Monte Carlo simulation method. This learning unit focuses on the mechanics and application of the mean variance/covariance method and makes comparisons to the historical and Monte Carlo simulations methods. The mean variance/covariance approach uses three steps: analyze potential volatility,
More DetailsEnquire Now
Value at Risk Principles and Building Blocks
Value at Risk Principles and Building Blocks
Value at Risk (VaR) is a statistical method for managing risk that is an important component of any institution's risk management program. VaR programs are typically structured with four parts: understanding the risks taken; measuring the risks; controlling and hedging the risks; and communicating the risks to the appropriate parties. VaR has two main advantages over previous risk management techniques.
More DetailsEnquire NowValue at Risk (VaR) is a statistical method for managing risk that is an important component of any institution’s risk management program. VaR programs...
Value at Risk Principles and Building Blocks
Value at Risk (VaR) is a statistical method for managing risk that is an important component of any institution's risk management program. VaR programs are typically structured with four parts: understanding the risks taken; measuring the risks; controlling and hedging the risks; and communicating the risks to the appropriate parties. VaR has two main advantages over previous risk management techniques.
More DetailsEnquire Now
Value at Risk Principles and Building Blocks
Value at Risk (VaR) is a statistical method for managing risk that is an important component of any institution's risk management program. VaR programs are typically structured with four parts: understanding the risks taken; measuring the risks; controlling and hedging the risks; and communicating the risks to the appropriate parties. VaR has two main advantages over previous risk management techniques.
More DetailsEnquire Now
Yield Curve Building to Price Swaps
Yield Curve Building to Price Swaps
In this learning unit the swap curve is built using Excel. The principle is the same as the bootstrapping approach used with bond yield curve structures, but the source of market information gives instant forward rates that are actually traded by the market at any moment in time. Swap yield curves an important benchmark because they provide a liquid pricing
More DetailsEnquire NowIn this learning unit the swap curve is built using Excel. The principle is the same as the bootstrapping approach used with bond yield...
Yield Curve Building to Price Swaps
In this learning unit the swap curve is built using Excel. The principle is the same as the bootstrapping approach used with bond yield curve structures, but the source of market information gives instant forward rates that are actually traded by the market at any moment in time. Swap yield curves an important benchmark because they provide a liquid pricing
More DetailsEnquire Now
Yield Curve Building to Price Swaps
In this learning unit the swap curve is built using Excel. The principle is the same as the bootstrapping approach used with bond yield curve structures, but the source of market information gives instant forward rates that are actually traded by the market at any moment in time. Swap yield curves an important benchmark because they provide a liquid pricing
More DetailsEnquire Now
Yield Curve Building Blocks
Yield Curve Building Blocks
This unit examines the factors required to build accurate yield curves to help traders, investment advisors and salespeople to price up, sell and revalue various interest rate derivatives. It will discuss not only the reasons for different yield curves but also will show that although very different in structure and use, they are all based on the same foundation. Accurate
More DetailsEnquire NowThis unit examines the factors required to build accurate yield curves to help traders, investment advisors and salespeople to price up, sell and revalue...
Yield Curve Building Blocks
This unit examines the factors required to build accurate yield curves to help traders, investment advisors and salespeople to price up, sell and revalue various interest rate derivatives. It will discuss not only the reasons for different yield curves but also will show that although very different in structure and use, they are all based on the same foundation. Accurate
More DetailsEnquire Now
Yield Curve Building Blocks
This unit examines the factors required to build accurate yield curves to help traders, investment advisors and salespeople to price up, sell and revalue various interest rate derivatives. It will discuss not only the reasons for different yield curves but also will show that although very different in structure and use, they are all based on the same foundation. Accurate
More DetailsEnquire Now
Value at Risk Applications
Value at Risk Applications
Bankers who would not normally encounter this level of complexity can see how the Value at Risk process works and understand, by applying the results of the VaR calculations, why their bank might decide to modify its portfolios. The three main techniques for calculating VaR are the covariance, historical simulation, and Monte Carlo simulation methods. This unit describes calculations for
More DetailsEnquire NowBankers who would not normally encounter this level of complexity can see how the Value at Risk process works and understand, by applying the...
Value at Risk Applications
Bankers who would not normally encounter this level of complexity can see how the Value at Risk process works and understand, by applying the results of the VaR calculations, why their bank might decide to modify its portfolios. The three main techniques for calculating VaR are the covariance, historical simulation, and Monte Carlo simulation methods. This unit describes calculations for
More DetailsEnquire Now
Value at Risk Applications
Bankers who would not normally encounter this level of complexity can see how the Value at Risk process works and understand, by applying the results of the VaR calculations, why their bank might decide to modify its portfolios. The three main techniques for calculating VaR are the covariance, historical simulation, and Monte Carlo simulation methods. This unit describes calculations for
More DetailsEnquire Now
Trigger Swaps
Trigger Swaps
Trigger swaps allow bank clients to hedge two types of exposures in a single transaction - most often interest and exchange rates, exchange rates and commodity prices, or commodity prices and interest rates. Consolidating multiple hedges allows clients to reduce documentation requirements, counterparty risks, and transaction costs, while accomplishing the primary goal of smoothing overall cash flow volatility. From the
More DetailsEnquire NowTrigger swaps allow bank clients to hedge two types of exposures in a single transaction – most often interest and exchange rates, exchange rates...
Trigger Swaps
Trigger swaps allow bank clients to hedge two types of exposures in a single transaction - most often interest and exchange rates, exchange rates and commodity prices, or commodity prices and interest rates. Consolidating multiple hedges allows clients to reduce documentation requirements, counterparty risks, and transaction costs, while accomplishing the primary goal of smoothing overall cash flow volatility. From the
More DetailsEnquire Now
Trigger Swaps
Trigger swaps allow bank clients to hedge two types of exposures in a single transaction - most often interest and exchange rates, exchange rates and commodity prices, or commodity prices and interest rates. Consolidating multiple hedges allows clients to reduce documentation requirements, counterparty risks, and transaction costs, while accomplishing the primary goal of smoothing overall cash flow volatility. From the
More DetailsEnquire Now
Systemic Risk Factors
Systemic Risk Factors
Risk is a fact of life in financial transactions: from the decision to buy or sell any financial instrument, to the choice of one's intermediary, to the clearance and settlement process, every decision must be made with attention to and management of risk. All participants, procedures, systems, rules, and procedures create, bear, manage, and assume risk. Risk management is vital
More DetailsEnquire NowRisk is a fact of life in financial transactions: from the decision to buy or sell any financial instrument, to the choice of one’s...
Systemic Risk Factors
Risk is a fact of life in financial transactions: from the decision to buy or sell any financial instrument, to the choice of one's intermediary, to the clearance and settlement process, every decision must be made with attention to and management of risk. All participants, procedures, systems, rules, and procedures create, bear, manage, and assume risk. Risk management is vital
More DetailsEnquire Now
Systemic Risk Factors
Risk is a fact of life in financial transactions: from the decision to buy or sell any financial instrument, to the choice of one's intermediary, to the clearance and settlement process, every decision must be made with attention to and management of risk. All participants, procedures, systems, rules, and procedures create, bear, manage, and assume risk. Risk management is vital
More DetailsEnquire Now
Term Structure Yield Curves and Interest Rate Risk Management
Term Structure Yield Curves and Interest Rate Risk Management
The critical step is to apply measures of interest rate risk to current and expected yield curve environments, to develop correct interest rate risk management strategies. As discussed in other units, the foundational fixed income risk and return metrics make simplified, unrealistic assumptions, to establish a common, unambiguous analytical framework. But effective interest rate risk management requires a more realistic
More DetailsEnquire NowThe critical step is to apply measures of interest rate risk to current and expected yield curve environments, to develop correct interest rate risk...
Term Structure Yield Curves and Interest Rate Risk Management
The critical step is to apply measures of interest rate risk to current and expected yield curve environments, to develop correct interest rate risk management strategies. As discussed in other units, the foundational fixed income risk and return metrics make simplified, unrealistic assumptions, to establish a common, unambiguous analytical framework. But effective interest rate risk management requires a more realistic
More DetailsEnquire Now
Term Structure Yield Curves and Interest Rate Risk Management
The critical step is to apply measures of interest rate risk to current and expected yield curve environments, to develop correct interest rate risk management strategies. As discussed in other units, the foundational fixed income risk and return metrics make simplified, unrealistic assumptions, to establish a common, unambiguous analytical framework. But effective interest rate risk management requires a more realistic
More DetailsEnquire Now
Structured Note Features
Structured Note Features
Intermediaries can generate substantial revenues by tailoring bonds to match investor's interest rate and risk requirements. Financial engineering and investor demand have created numerous varieties of structured notes. A structured note is a bond with an embedded derivative. It is extremely flexible. The coupons and/or principal payments can be linked to equity prices, market indexes, foreign exchange rates, commodity prices,
More DetailsEnquire NowIntermediaries can generate substantial revenues by tailoring bonds to match investor’s interest rate and risk requirements. Financial engineering and investor demand have created numerous...
Structured Note Features
Intermediaries can generate substantial revenues by tailoring bonds to match investor's interest rate and risk requirements. Financial engineering and investor demand have created numerous varieties of structured notes. A structured note is a bond with an embedded derivative. It is extremely flexible. The coupons and/or principal payments can be linked to equity prices, market indexes, foreign exchange rates, commodity prices,
More DetailsEnquire Now
Structured Note Features
Intermediaries can generate substantial revenues by tailoring bonds to match investor's interest rate and risk requirements. Financial engineering and investor demand have created numerous varieties of structured notes. A structured note is a bond with an embedded derivative. It is extremely flexible. The coupons and/or principal payments can be linked to equity prices, market indexes, foreign exchange rates, commodity prices,
More DetailsEnquire Now
Swap Market Values
Swap Market Values
The mark-to-market value of swaps is based on the present value of the cash flows embedded in the swap, which can be calculated using zero-coupon rates and forward rates. The mark-to-market value is the difference between the present values of the fixed cash flows and the floating cash flows. The mark-to-market value is used when terminating swaps through negotiation between
More DetailsEnquire NowThe mark-to-market value of swaps is based on the present value of the cash flows embedded in the swap, which can be calculated using...
Swap Market Values
The mark-to-market value of swaps is based on the present value of the cash flows embedded in the swap, which can be calculated using zero-coupon rates and forward rates. The mark-to-market value is the difference between the present values of the fixed cash flows and the floating cash flows. The mark-to-market value is used when terminating swaps through negotiation between
More DetailsEnquire Now
Swap Market Values
The mark-to-market value of swaps is based on the present value of the cash flows embedded in the swap, which can be calculated using zero-coupon rates and forward rates. The mark-to-market value is the difference between the present values of the fixed cash flows and the floating cash flows. The mark-to-market value is used when terminating swaps through negotiation between
More DetailsEnquire Now
Swaption Pricing
Swaption Pricing
Swaptions bring an option element into a forward starting swap by allowing buyers of the swaption to decide, on the forward date, whether or not they still want to enter into the forward swap. A swaption gives the buyer the right but not the obligation to enter into a swap on a pre-determined day in the future at an agreed
More DetailsEnquire NowSwaptions bring an option element into a forward starting swap by allowing buyers of the swaption to decide, on the forward date, whether or...
Swaption Pricing
Swaptions bring an option element into a forward starting swap by allowing buyers of the swaption to decide, on the forward date, whether or not they still want to enter into the forward swap. A swaption gives the buyer the right but not the obligation to enter into a swap on a pre-determined day in the future at an agreed
More DetailsEnquire Now
Swaption Pricing
Swaptions bring an option element into a forward starting swap by allowing buyers of the swaption to decide, on the forward date, whether or not they still want to enter into the forward swap. A swaption gives the buyer the right but not the obligation to enter into a swap on a pre-determined day in the future at an agreed
More DetailsEnquire Now
Value at Risk Calculations using Matrices and Monte Carlo Simulations
When assessing the value at risk of groups of assets in a portfolio, complex correlations and variances are calculated, which must then be interpreted into a VAR number that makes sense. Variance/covariance matrixes are useful in multi-asset portfolios, so it is important to understand the matrices and their uses. An advantage of the covariance/matrix approach is that the calculation captures
More DetailsEnquire Now
Value at Risk Calculations using the Mean Variance/Covariance Method
The three standard approaches to calculating Value at Risk (VaR) are the mean variance/covariance method, the historical simulation method, and the Monte Carlo simulation method. This learning unit focuses on the mechanics and application of the mean variance/covariance method and makes comparisons to the historical and Monte Carlo simulations methods. The mean variance/covariance approach uses three steps: analyze potential volatility,
More DetailsEnquire Now
Value at Risk Principles and Building Blocks
Value at Risk (VaR) is a statistical method for managing risk that is an important component of any institution's risk management program. VaR programs are typically structured with four parts: understanding the risks taken; measuring the risks; controlling and hedging the risks; and communicating the risks to the appropriate parties. VaR has two main advantages over previous risk management techniques.
More DetailsEnquire Now
Yield Curve Building to Price Swaps
In this learning unit the swap curve is built using Excel. The principle is the same as the bootstrapping approach used with bond yield curve structures, but the source of market information gives instant forward rates that are actually traded by the market at any moment in time. Swap yield curves an important benchmark because they provide a liquid pricing
More DetailsEnquire Now
Yield Curve Building Blocks
This unit examines the factors required to build accurate yield curves to help traders, investment advisors and salespeople to price up, sell and revalue various interest rate derivatives. It will discuss not only the reasons for different yield curves but also will show that although very different in structure and use, they are all based on the same foundation. Accurate
More DetailsEnquire Now
Value at Risk Applications
Bankers who would not normally encounter this level of complexity can see how the Value at Risk process works and understand, by applying the results of the VaR calculations, why their bank might decide to modify its portfolios. The three main techniques for calculating VaR are the covariance, historical simulation, and Monte Carlo simulation methods. This unit describes calculations for
More DetailsEnquire Now
Trigger Swaps
Trigger swaps allow bank clients to hedge two types of exposures in a single transaction - most often interest and exchange rates, exchange rates and commodity prices, or commodity prices and interest rates. Consolidating multiple hedges allows clients to reduce documentation requirements, counterparty risks, and transaction costs, while accomplishing the primary goal of smoothing overall cash flow volatility. From the
More DetailsEnquire Now
Systemic Risk Factors
Risk is a fact of life in financial transactions: from the decision to buy or sell any financial instrument, to the choice of one's intermediary, to the clearance and settlement process, every decision must be made with attention to and management of risk. All participants, procedures, systems, rules, and procedures create, bear, manage, and assume risk. Risk management is vital
More DetailsEnquire Now
Term Structure Yield Curves and Interest Rate Risk Management
The critical step is to apply measures of interest rate risk to current and expected yield curve environments, to develop correct interest rate risk management strategies. As discussed in other units, the foundational fixed income risk and return metrics make simplified, unrealistic assumptions, to establish a common, unambiguous analytical framework. But effective interest rate risk management requires a more realistic
More DetailsEnquire Now
Structured Note Features
Intermediaries can generate substantial revenues by tailoring bonds to match investor's interest rate and risk requirements. Financial engineering and investor demand have created numerous varieties of structured notes. A structured note is a bond with an embedded derivative. It is extremely flexible. The coupons and/or principal payments can be linked to equity prices, market indexes, foreign exchange rates, commodity prices,
More DetailsEnquire Now
Swap Market Values
The mark-to-market value of swaps is based on the present value of the cash flows embedded in the swap, which can be calculated using zero-coupon rates and forward rates. The mark-to-market value is the difference between the present values of the fixed cash flows and the floating cash flows. The mark-to-market value is used when terminating swaps through negotiation between
More DetailsEnquire Now
Swaption Pricing
Swaptions bring an option element into a forward starting swap by allowing buyers of the swaption to decide, on the forward date, whether or not they still want to enter into the forward swap. A swaption gives the buyer the right but not the obligation to enter into a swap on a pre-determined day in the future at an agreed
More DetailsEnquire Now