1. Tranche ABX and Basis Risk in Subprime RMBS Structured Portfolios Kevin Kendra February 20, 2007 2. Introduction What are structured subprime RMBS portfolios? What is…

Slide 1Tranche ABX and Basis Risk in Subprime RMBS Structured Portfolios Kevin Kendra February 20, 2007 Slide 2 Introduction What are structured subprime RMBS portfolios?…

Slide 1Credit Risk Modelling : The Basics October 4, 2009 By: A V Vedpuriswar Slide 2 1 Introduction to Credit Risk Modelling Credit risk modeling helps to estimate how much…

1. Evolution of Interest Rate Curves Special CPT SeminarFrancois Choquet, Advanced Specialist Bloomberg L.P.December 8, 2010 2. Amounts outstanding of over-the- counter (OTC)…

A PRACTITIONER’S GUIDE TO PRICING AND HEDGING CALLABLE LIBOR EXOTICS IN FORWARD LIBOR MODELS VLADIMIR V. PITERBARG Abstract. Callable Libor exotics is a class of single-currency…

1. VALUATION IN DERIVATIVES MARKETSSeptember 2005Rawle ParrisABN AMROProperty Derivatives 2. What is a Derivative?• A contract that specifies the rights and obligations…

Slide 1 Lecture 11 Slide 2 Topics  Pricing  Delivery Complications for both  Multiple assets can be delivered on the same contract…unlike commodities  The deliverable…

Slide 1 12345 1 5th Lecture 10 th November 2003 Slide 2 12345 2 FRAs (Swaplets) and Interest Rate Futures contracts Forward rate agreements - exchanges of fixed rate for…

Slide 1 ENTERPRISE RISK MANAGEMENT IN FINANCIAL INSTITUTIONS Olayinka Odutola Slide 2 QUOTE ‘A MAN HAS DEPRIVED HIMSELF OF THE BEST KNOWLEDGE THERE IS IN THE WORLD IF HE…

Slide 1 Challenges in Market and Counterparty Risk Management How to solve the critical issues? Solutions that can help. ZADAR, 14 May 2011 Reinhard Keider; Head of Risk…