Ayesha Majid
,@ayeshamajid
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The basis curve construction methodology is based on the most liquid market instruments. Normally a basis curve is divided into two parts. The short end of the term structure is determined using LIBOR rates and the remaining is derived using basis swaps.
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Tim Xiao deposited Zero Rate Curve Bootstrapping in the group
Business Management on Humanities Commons 5 years agoZero curves can be derived from government bonds or LIBOR/swap instruments. The LIBOR/swap term structure offers several advantages over government curves, and is a robust tool for pricing and hedging financial products. Correlations among governments and other fixed-income products have declined, making the swap term structure a more efficient…[Read more]
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Zero curves can be derived from government bonds or LIBOR/swap instruments. The LIBOR/swap term structure offers several advantages over government curves, and is a robust tool for pricing and hedging financial products. Correlations among governments and other fixed-income products have declined, making the swap term structure a more efficient…[Read more]
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Tim Xiao deposited Yield Curve Introduction in the group
Business Management on Humanities Commons 5 years, 1 month agoThe term structure of interest rates, also known as yield curve, is defined as the relationship between the yield-to-maturity on a zero coupon bond and the bond’s maturity. Zero yield curves play an essential role in the valuation of all financial products.
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The term structure of interest rates, also known as yield curve, is defined as the relationship between the yield-to-maturity on a zero coupon bond and the bond’s maturity. Zero yield curves play an essential role in the valuation of all financial products.
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Tim Xiao deposited Monte Carlo Value At Risk Introduction in the group
Business Management on Humanities Commons 5 years, 1 month agoValue at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level over N days. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR results. Although VaR measure is…[Read more]
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Tim Xiao deposited Risk Sensitivity Introduction in the group
Business Management on Humanities Commons 5 years, 1 month agoRisk sensitivities, also referred to as Greeks, are the measure of a financial instrument’s value reaction to changes in underlying factors. The value of a financial instrument is impacted by many factors, such as interest rate, stock price, implied volatility, time, etc. Sensitivities are risk measures that are more important than fair values.
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Tim Xiao deposited Monte Carlo Value At Risk Introduction on Humanities Commons 5 years, 1 month ago
Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level over N days. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR results. Although VaR measure is…[Read more]
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Risk sensitivities, also referred to as Greeks, are the measure of a financial instrument’s value reaction to changes in underlying factors. The value of a financial instrument is impacted by many factors, such as interest rate, stock price, implied volatility, time, etc. Sensitivities are risk measures that are more important than fair values.
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Tim Xiao deposited Parametric VaR Introduction in the group
Business Management on Humanities Commons 5 years, 1 month agoValue at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level over N days. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR results. Although VaR measure is…[Read more]
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Tim Xiao deposited Market Risk Economic Capital in the group
Business Management on Humanities Commons 5 years, 1 month agoFinancial business is exposed to many types of risks due to the nature of business. To guard against the risk, financial institutions must hold capital in proportion to the potential risk. Market risk economic capital is intended to capture the value change due to changes in market risk factors. It is an internal capital reserve to cover…[Read more]
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Value at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level over N days. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR results. Although VaR measure is…[Read more]
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Financial business is exposed to many types of risks due to the nature of business. To guard against the risk, financial institutions must hold capital in proportion to the potential risk. Market risk economic capital is intended to capture the value change due to changes in market risk factors. It is an internal capital reserve to cover…[Read more]
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Tim Xiao deposited Financial Market Introduction in the group
Business Management on Humanities Commons 5 years, 1 month agoA financial market is a market where people trade financial products. Typical financial markets are the fixed income and interest rate market, the currency market, the equity market, the commodity market and the credit market.
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Tim Xiao deposited Incremental Risk Charge (IRC) Introduction in the group
Business Management on Humanities Commons 5 years, 1 month agoThe incremental risk charge (IRC) is a regulatory requirement from the Basel Committee in response to the financial crisis. It supplements existing Value-at-Risk (VaR) and captures the loss due to default and migration events at a 99.9% confidence level over a one-year capital horizon.
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A financial market is a market where people trade financial products. Typical financial markets are the fixed income and interest rate market, the currency market, the equity market, the commodity market and the credit market.
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Tim Xiao deposited Incremental Risk Charge (IRC) Introduction on Humanities Commons 5 years, 1 month ago
The incremental risk charge (IRC) is a regulatory requirement from the Basel Committee in response to the financial crisis. It supplements existing Value-at-Risk (VaR) and captures the loss due to default and migration events at a 99.9% confidence level over a one-year capital horizon.
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Tim Xiao deposited An Overview of Standard Initial Margin Mode in the group
Business Management on Humanities Commons 5 years, 1 month agoInitial Margin (IM) is the amount of collateral required to open a position with a broker or an exchange or a bank. The Standard Initial Margin Model (SIMM) is very likely to become the market standard. It is designed to provide a common methodology for calculating initial margin for uncleared OTC derivatives. Initial margin calculation is…[Read more]
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Tim Xiao deposited An Overview of Standard Initial Margin Mode on Humanities Commons 5 years, 1 month ago
Initial Margin (IM) is the amount of collateral required to open a position with a broker or an exchange or a bank. The Standard Initial Margin Model (SIMM) is very likely to become the market standard. It is designed to provide a common methodology for calculating initial margin for uncleared OTC derivatives. Initial margin calculation is…[Read more]
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Tim Xiao deposited Historical VaR in the group
Business Management on Humanities Commons 5 years, 1 month agoValue at Risk (VaR) is the regulatory measurement for assessing market risk. It reports the maximum likely loss on a portfolio for a given probability defined as x% confidence level over N days. VaR is vital in market risk management and control. Also regulatory and economic capital computation is based on VaR results. Although VaR measure is…[Read more]
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