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Potential Future Exposure Calculations Using the BGM Model

Within this paper the authors look at the BGM model in PFE calculations for various exotic interest rate products.

Thu 18 Jul 2019
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Risk Management: A Review

Dr. Sébastien Lleo presents CQF Institute members with his review in Risk Management.

Sébastien Lleo
Wed 1 Apr 2015
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Anything Built By the FED, Can Also Be Destroyed

In this commentary, Edward Talisse examines the year’s bond investment, looking closely at the USA and countries in Europe including Spain, Italy and Greece.

Edward Talisse
Wed 30 Jul 2014
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The Tide is High

In this article, Edward Talisse delivers another commentary on the state of the American financial markets.

Edward Talisse
Fri 11 Jul 2014
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VaR as a Percentile

In this white paper Dr. Richard Diamond expands on the concept of Value at Risk (VAR) from a formula based on the critical value, to its true definition of being a property of the joint probability distribution of risk factors.

Richard Diamond
Fri 4 Apr 2014