Explore this post (Halperin, 2020) dissecting the Black-Scholes model's flaw in assuming a perfect hedge. The article introduces a discrete model, sidestepping continuous rebalancing, and employs…
"Explore the Basel Committee's latest public consultation on recalibrating shocks for interest rate risk in the banking book. Learn how recent banking turmoil has spurred a revaluation of global…
This is an extensive overview of most of the major changes to Basel II since its original publication. It focuses particularly on the changes brought about by the December 2017 release, especially on…
The accurate estimation of the credit risk parameters is crucial for provisioning under IFRS9 and capital requirements (when using an IRB approach) as well as for setting up strategies for pricing,…
This Expert input works as an overview of the basis of most available machine learning techniques and serves as a great stepping stone to get into the intricate world of ML. Whilst mostly written…
This Expert input concerns itself with the valuation of Private Equity, an intriguingly difficult topic, but also one well worth exploring, considering just how large a portion of the equity takes…
This expert input focuses on the validation of Expected Credit loss model validation; more specifically, it explains why it is a good idea now, after the scramble to have IFRS 9 compliant models in…
This article – a courtesy of our partners from Clearstream, focuses on collateral management as a part of derivatives trading, in light of the adoption of EMIR. It discusses the general landscape of…
This Expert input is a follow-up to a previous expert input on finalising Basel III, this time with a focus on operational risk – an unsung villain of risk management. It gives a brief overview of…
This expert input addresses the independent valuation of structured products, and particularly of OTC derivatives. It explains for what reasons and under what conditions independent valuation is…
