Jul 11Foundations of Interest Rate modelling — the simplified wayBackground The idea of interest rate is something that we all have been introduced at a very early age of our life. Back in school we were taught ideas like simple interest, compound interest etc. Subsequently, at undergraduate / post graduate levels many of us had the opportunity to learn advanced…Interest Rates9 min readInterest Rates9 min read
Apr 20Probability toolbox for quant financeBackground Probability theory and related concepts are one of the key building blocks for a variety of concepts in quant finance. Most of us had the chance to learn probability concepts at different levels during our academic years and also on projects on the job. I am of the view that…Financial Engineering6 min readFinancial Engineering6 min read
Apr 6Introduction to Martingales for quant financeBackground Most of us have learnt probability theory at a certain stage of time in our lives — be it in school, undergraduate or postgraduate level or on the job. While understanding most concepts in probability may come naturally, there are a few ideas based on the probability theory that appear…Financial Engineering6 min readFinancial Engineering6 min read
Dec 2, 2022Simulation of correlated random walks for a basket of stocks using PythonBackground In many quantitative finance applications, we frequently generate random walks to build the path of a certain asset that follows a stochastic process. By far the most popular model for simulation of a stochastic process is the geometric Brownian motion (GBM) for simulating the path of a single equity stock…Simulation4 min readSimulation4 min read
Oct 19, 2022Foundations of Numerical Methods — the Pythonic wayBackground Numerical Methods by definition mean the application of a certain analytical technique to solve a certain problem. From quantitative modelling point of view, there are many problems for which we do not have a ready formula (i.e., a closed form solution). For such instances, we have to resort to some…Numerical Methods6 min readNumerical Methods6 min read
Oct 6, 2022Matrix Algebra to solve Linear Equations with PythonBackground Most of us have solved set of linear equations at a certain point of time in our lives — be it in school, undergraduate or postgraduate level. These type of problems were commonly referred to a set of simultaneous equations. …Matrix Algebra4 min readMatrix Algebra4 min read
Jul 31, 2022Demystifying Risks in FX MarketsBackground: Foreign Exchange (“FX”) as an asset class is a key component of the global financial markets. The size of the FX market is humongous given the level of trading activity witnessed in this market. The interesting part about FX is — it’s a market that is open throughout the trading…Foreign Exchange6 min readForeign Exchange6 min read
Jul 22, 2022Understanding Credit DerivativesOverview of Risk existing in the market Risk is the uncertainty in any transaction. Risk may manifest itself in multiple forms including market risk, credit risk, operational risk, compliance risk etc. Over the years, banks and financial institutions have become risk aware which is evident from the increased investment towards strengthening of their overall risk management infrastructure…Credit Risk6 min readCredit Risk6 min read
Jun 17, 2022Capital Requirements for Operational Risk for BanksBackground: Capital is the fuel for any business be it banking or otherwise. An organization requires capital for a variety of purposes including: 1. Exploring new business opportunities 2. Maintaining a strong balance sheet position 3. Regulatory requirements 4. Overcoming market stresses to continue as a going concern The above mentioned…Banking5 min readBanking5 min read
Apr 28, 2022Exposure Monitoring methods by BanksBackground: Exposure Monitoring is a key component of risk management for banks and lending institutions. At an enterprise level a bank will decide its risk appetite / risk tolerance. There are various ways in which the risk appetite is inculcated in every action that the bank takes — be it…Exposure5 min readExposure5 min read
