Equity value at risk (VaR) model requires implied volatilities with respect to various indices and maturities, which range from three months to five years. A model is presented for generating a term-structure of implied equity index volatilities for use in calculating VaR.

A model is used to price a derivative whose payoff depends on returns over N periods on a shrinking basket of originally N assets. Each period, the worst return is added to the cumulative sum after being capped and floored, and the corresponding asset removed from the basket (hence a shrinking basket). The cap and floor rates are given for each…[Read more]

Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor’s credit quality is determined by the obligor’s asset value, which in turn is approximated by its standardized equity return.

We present a model for pricing a credit derivative product where party A has sold default put protection on a Euro denominated bond. Specifically, upon bond issuer default, party A must pay to party B a notional amount of 10 million USD (excluding accrued interest). In exchange, party B must pay a fixed rate to party A, on a quarterly basis,…[Read more]

We present a valuation model for pricing a gold derivatives trade. The trade can be structured to synthesize a typical gold-miner’s hedge, specifically, a swap in which one party receives long-term interest rates and pays a blend of short-term interest rates and short-term gold lease rates.

We present a model for pricing a path-dependent, equity-linked payoff. Here a bounded price return is calculated from an underlying index at certain pre-specified dates. The total return at maturity is given by the sum of the bounded price returns above, but where a specified number of the highest of these returns are set to a cap value.

A model is presented for pricing an American call option on stock. The option tenor is n years, and its strike price is increased every anniversary. It has also the following feature: if the stock price stays in excess of 200% of the current strike price during 10 consecutive trading days. The seller can issue a notice to the buyer that one half…[Read more]

We present a valuation model for pricing two asset barrier options on commodity futures. Applications to commodity futures have a number of specific. The analytical valuation formulas are also implemented. The payoff of a two asset barrier options is made against one of the assets, while the other asset is used to trigger the barrier.

A two-asset barrier option is a European style option whose value is determined by two underlying assets. One asset, S1, determines the payoff function, and the other, S2, knocks the option in or out if the S2 value crosses the barrier.

A Market Mix GIC is a type of guaranteed investment certificate, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. The payoff at maturity from a Market Mix GIC can be shown equal to the invested principal plus this principal times the sum of the minimum guaranteed…[Read more]

The Market Mix GIC is a type of guaranteed investment certificate, of 3- or 5-year term, which offers a return based on a corresponding GIC rate and the performance of a basket of certain stock and bond market indices. To determine the rate of return, the percentage change in each index level from the initial level is calculated. Here the initial…[Read more]

A pricing model was developed for pricing a total return swap between two parties. Here party A receives LIBOR plus a spread, but pays out the equity dividends arising from a collateralized loan obligation (CLO).

This book was a compilation of anecdotes.

Presentation of scientific papers is associated with the creation of new scientific journals and the maintenance of established periodicals. This paper discusses and analyzes two challenges to publishing scientific journals in Bulgaria –first, securing a pool of suitable reviewers and second –maintaining good relations wit…[Read more]

This study examines export-import misalignment and gross fixed capital formation in Nigeria. Three variables are used and myriad of control variables, spanning the period of 1981-2020. The model was tested with several econometrics and statistical instruments. The results from the findings indicates that, export-import misalignment has a negative…[Read more]

The study examined the effect of lease financing on the performance of quoted consumer goods companies in Nigeria for the period – 2009 to 2018. Specifically, the study assesses the effect of finance or capital lease, leveraged lease and the moderating effect of firm size on lease financing and performance of consumer goods companies. It also…[Read more]

This study focused on the effect of external debt on economic growth in Nigeria. It sought to assess the significance of external debt, and to suggest measures that could enhance its effectiveness and economic growth in Nigeria. To achieve the objective of the research, some macroeconomic indicators in the Nigerian economy, using an ex-post facto…[Read more]

This study focused on diaspora remittances and its effect on economic growth in Nigeria. It sought to assess the signification of diaspora remittances, and to suggest measures that could enhance its effectiveness and economic growth in Nigeria. To achieve the objective of the research, some macroeconomic indicators in the Nigerian economy were…[Read more]

This study focused on the effect of interest rate policy on the growth of the Nigerian economy. It sought to assess the significance of interest rate, and to suggest measures that could enhance economic growth in Nigeria. To achieve the objective of the research, some macroeconomic indicators in the Nigerian economy, using an ex-post facto…[Read more]

This study aimed at evaluating enterprise risk management practice by Deposit Money Banks in Nigeria. Evolving from the research were three specific objectives which were reconstructed into research hypotheses. The hypotheses investigated the relationship between objections and
challenges faced by Nigerian banks, government policy, risk and…[Read more]