London based Man AHL – Leading Quantitative Investment Manager and one of the biggest hedge funds in the world ($19 billion AUM), published a series of videos explaining how maths are the core for their predictive trading tools. The video highlighted below explains “breakout trading,” which is one of one of the most popular systematic […]
Author: Antonio Caldas
Interest Rate Risk – Market Interest Rate and Bond Prices
You may have noticed articles in the media about investors “chasing yield,” the so-called “bond bubble,” or predictions about declines in bond prices. some of these warnings about a drop in bond prices relate to the potential for a rise in interest rates. Interest rate risk is common to all bonds, particularly bonds with a […]
Forming FRTB action plans: Tactical vs. Transformational
The formal phase of consultations between banks and regulators on Fundamental Review of Trading Book (FRTB) has ended, and the biggest change to market risk capital requirements in over a decade has been finalized. Now banks are in a race against the regulatory deadline, and must choose the most efficient path to overhaul their risk […]
Measuring Risk with Options using the Greeks
If you’re trading with options (or about to start), you will need to get acquainted with the Greeks. The Greeks are composed of four main measures of risk which represent several variables that influence option prices. They are used to support a trader or portfolio manager to determine the risk and reward in options trading. The Greeks risk measures indicate […]
BIS on Operational Risk
This article contains some links into Bank for International Settlements (BIS) important documents for Operational Risk. Each link will open a new window in your browser and will guide you to the original BIS article which contains a PDF version.
SREP: How Europe’s Banks can Adapt to the New Risk-Based Supervisory Playbook
As a reminder, the main purpose of the Supervisory Review and Evaluation Process (SREP) is to ensure that institutions have adequate arrangements, strategies, processes, systems and controls, as well as capital and liquidity, to ensure a solid coverage of their risks along with sound business management. Risks include all that the organisations might be exposed […]
Institute of Risk Management (IRM) Free Webinars
The Institute of Risk Management (IRM) provides globally recognised high quality (paid) qualifications and training. But among the rich content provided in the IRM web site, there are several FREE webinars which are very complete and comprehensive. Below you can find the direct link for the IRM webinar homepage The only requirement is a simple registration process after […]
A post-Brexit Assessment of Risks to Debt Sustainability in the Euro Area
Over a month has gone and BREXIT effects are still unfolding. Many defend that the essential feeling is uncertainty and the real effects caused by the fact that the United Kingdom did vote to leave Europe, will only be felt a time goes by. In the meantime, lots of literature and commentators write about BREXIT on a daily basis. Professor John Iannis Mourmouras, […]
