Overnight index swaps (OIS) curves became the market standard for discounting collateralized cashflows. The reason often given for using the OIS rate as the discount rate is that it is derived from the fed funds rate and the fed funds rate is the interest rate usually paid on collateral. As such the fed funds rate and OIS rate are the relevant…[Read more]

FREE ACCESS: https://www.tandfonline.com/doi/full/10.1080/0377919X.2020.1855933
For the last decade of his life, the Palestinian intellectual, author, and editor Ghassan Kanafani (d. 1972) was deeply immersed in theorizing, lecturing, and publishing on Palestinian resistance literature from Beirut. A refugee of the 1948 war, Kanafani presented…[Read more]

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.

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]

This discusses the multi-year process of implementing co-requisite composition courses and establishing a multiple measures placement mechanism to determine which students need what kinds of developmental course work, if any. The end result was an increase in course pass rates and an increase in retention.

This discusses the multi-year process of implementing co-requisite composition courses and establishing a multiple measures placement mechanism to determine which students need what kinds of developmental course work, if any. The end result was an increase in course pass rates and an increase in retention.

This article shares the author’s exploratory journey as a senior professor eager to understand and to showcase digital scholarship during periods of faculty performance evaluations. In 2019, a previous article was submitted to this digital repository using a similar exploratory narrative; however, this article differs from the previous submission…[Read more]

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.

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]

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.

This is the published introduction to the born-digital, open-access, peer-reviewed *Digital Pedagogy in the Humanities*. More a rationale and scholarly study of both Digital Pedagogy and DPiH in general, this introduces articulates the uses, theory, rationale about digital pedagogy as it has been shaped in U.S. institutions since the explosion of…[Read more]

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]

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]

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.

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.

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]

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]

An implied volatility is the volatility implied by the market price of an option based on the Black-Scholes option pricing model. In cap market, a cap/floor is quoted by implied volatilities but not prices. An interest rate cap volatility surface is a three-dimensional plot of the implied volatility of a cap as a function of strike and maturity.