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by Samsaveel
August 23rd, 2020, 5:01 am
Forum: General Forum
Topic: VaR for a life insurance company
Replies: 10
Views: 730

Re: VaR for a life insurance company

Two methods are common to calculate VaR (Full-revaluation & Taylor method ).  For the diffusion risks such as IR,FX,EQ, CSR ( credit spread risk ),COM(commodity), historical simulation (full revaluation ) VaR is the most used method.  You need at least 310 historical observations at the risk factor ...
by Samsaveel
December 9th, 2019, 6:55 am
Forum: General Forum
Topic: Bond Portfolio: Value at Risk
Replies: 5
Views: 2638

Re: Bond Portfolio: Value at Risk

Also, the bond portfolio have mainly first-order effects dominant, so do not go with a full revaluation VaR model, to cut the time use a Taylor approximation to your PnL. In other words, use the delta of the bond portfolio on a daily basis as an approximation to your PnL and get the VaR from that.
by Samsaveel
December 9th, 2019, 6:51 am
Forum: General Forum
Topic: Bond Portfolio: Value at Risk
Replies: 5
Views: 2638

Re: Bond Portfolio: Value at Risk

Assuming here that the portfolio is a component of your trading book.  Would go with Incremental risk charge model (IRC) ( get a distribution of losses on underlying portfolio positions driven mainly by 2 risk factors -outright default and migration risks) the other risks, the diffusion risks can be...
by Samsaveel
May 30th, 2019, 2:24 pm
Forum: General Forum
Topic: Bond Pricing (Illiquid Asset)
Replies: 3
Views: 2581

Re: Bond Pricing (Illiquid Asset)

The answers provided here give you some options. Moreover, if your central assumption is a default of the underlying issuer of the bond, then what you get back is simply the recovery rate for comparable bonds with the same ( Currency, country, and rating ). If you want to take the more complex path,...
by Samsaveel
May 30th, 2019, 11:27 am
Forum: Politics Forum
Topic: Trump -- the last 100 days
Replies: 3681
Views: 202786

Re: Trump -- the last 100 days

Here in Jordan, the whole government apparatus is nervous from news travelling around about the upcoming "Deal of the Century" it even sounds like one of those "CDO's"...It seems they want to turn "Jordan" into "Palestine"!! Is that even possible ?? I guess in the laws of the "Jungle" it is certain,...
by Samsaveel
August 7th, 2018, 3:36 am
Forum: Technical Forum
Topic: VaR horizon
Replies: 2
Views: 1401

Re: VaR horizon

One method tests the other. Compute a VaR-based on 20-day overlapping time periods. In addition, compute the VaR using the daily observations and use the square root of time as an approximation- this will allow you to test the mathematical integrity of the Model and reinforces the validation of the ...
by Samsaveel
July 23rd, 2018, 4:25 pm
Forum: General Forum
Topic: systemic risk in mutual founds
Replies: 1
Views: 990

Re: systemic risk in mutual founds

First, you need a framework to define the type, scope, scale, intensity of a systemic risk event that impacts the fund's. If your case is mainly the US, then I suggest you google the following: "  Systemic risk: examining regulators' ability to respond to threats to the financial system ", hearing b...
by Samsaveel
July 23rd, 2018, 4:12 pm
Forum: General Forum
Topic: Value at Risk
Replies: 5
Views: 1660

Re: Value at Risk

You have a trading book (TB), your diversified VaR is a single PnL vector covering the whole TB,  your undiversified VaR is a single PnL vector for each "material" risk factor traded by all desks. For the whole  VaR (TB) <= VaR (IR) + VaR(FX) + VaR(COM) + VaR (CSR ) + VaR (EQ). The IR, FX, COM, CSR,...
by Samsaveel
March 14th, 2017, 5:03 pm
Forum: General Forum
Topic: Regulatory Text Interpretation
Replies: 0
Views: 577

Regulatory Text Interpretation

Can the following be Interpreted as " standard Market Documentation or there is more to it " ? Regulation (EU) No 575/2013 OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL of 26 June 2013 on  prudential requirements for credit institutions and investment firms  and amending Regulation (EU ) NO 648/2012...
by Samsaveel
March 9th, 2017, 4:52 am
Forum: General Forum
Topic: Rates - Pricing Model Limitations/Issues
Replies: 14
Views: 2025

Re: Rates - Pricing Model Limitations/Issues

Inconsistent evolution of rates generated by a calibrated model to reality on ground. Second that. Basically all quantitative finance models going back to Bachelier, Samuelson, Black-Scholes and the whole industry on top of that are wrong. Quantitative analysts are a dying breed. Any specific produ...
by Samsaveel
March 8th, 2017, 6:46 am
Forum: General Forum
Topic: Rates - Pricing Model Limitations/Issues
Replies: 14
Views: 2025

Re: Rates - Pricing Model Limitations/Issues

Inconsistent evolution of rates generated by a calibrated model to reality on ground.
by Samsaveel
March 7th, 2017, 6:02 pm
Forum: General Forum
Topic: Terminology
Replies: 8
Views: 1089

Re: Terminology

Macroeconomical system risk factors or Macroeconomical system variables
by Samsaveel
February 26th, 2017, 4:52 am
Forum: General Forum
Topic: Interview Prep - Rates Risk Manager
Replies: 1
Views: 770

Re: Interview Prep - Rates Risk Manager

1) At the portfolio level: P&L, P&L attribution, Sensitivity's, and Risk measures (VaR, SVaR, ES) 2) Models, Calibration, and Market data 3) Risk Capital- Regulatory & Risk capital under Basel pillar 2 Internal Capital Adequacy Assessment. This includes quantification of risk capital. 4) Stress test...
by Samsaveel
December 20th, 2016, 4:59 am
Forum: General Forum
Topic: Banks Regulatory capital
Replies: 4
Views: 949

Re: Banks Regulatory capital

resurrecting an important topic. Any Capital experts who can shed more light on bank capital ?
by Samsaveel
December 9th, 2016, 3:33 am
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1869

Re: Credit curves for illiquid bonds

Regarding the funding spread, you may find evidence for such add-on in recent FRTB standardized method for market risk capital requirement, where the regulator requires to hold capital based on bond's sensitivity if the bond is denominated in foreign currency. If the regulator see the problem of th...
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