Structured Rates Valuation: Example of Bermudan Swaption
July 6, 2025
A comprehensive guide to pricing complex interest rate derivatives using advanced numerical methods, including trinomial trees, Monte Carlo simulations, and risk management techniques for Bermudan swaptions with multiple exercise opportunities.
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P&L Attribution of a Book: Example of Factor-Based Attribution
June 29, 2025
A comprehensive guide to factor-based attribution models for identifying key drivers of portfolio P&L, including regression analysis, factor sensitivities, and advanced attribution techniques for performance evaluation.
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Hedging MBS using Duration: Example of Hedge Ratio Calculation
June 22, 2025
A comprehensive guide to hedging mortgage-backed securities using duration matching, including hedge ratio calculations, advanced hedging strategies, and dynamic rebalancing techniques for effective risk management.
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Modeling Prepayment Risk: Example of PSA Model and CPR
June 15, 2025
A comprehensive guide to modeling prepayment behavior in mortgage-backed securities using PSA benchmarks and custom models, including refinancing incentives, seasonality factors, and risk management applications.
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Securitization Modeling: Example of Cash Flow Waterfall Analysis
June 8, 2025
A comprehensive guide to building cash flow waterfall models for securitization, including tranche structuring, risk assessment, and advanced modeling techniques for structured finance products.
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Asset-Liability Management (ALM): Example of Gap Analysis
June 1, 2025
A comprehensive guide to ALM gap analysis and simulation modeling for managing interest rate and liquidity risk, including regulatory frameworks and advanced techniques for financial institutions.
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Portfolio Duration and Convexity: Example of Key Rate
May 25, 2025
A comprehensive guide to calculating Key Rate Durations and Convexity for portfolios, measuring sensitivity to yield curve changes and managing interest rate risk across different maturity segments.
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Valuation of Callable Bonds: Example of Binomial Tree Model
May 18, 2025
A comprehensive guide to constructing binomial interest rate trees and valuing callable bonds, including modeling interest rate movements, calculating cash flows, and incorporating call option exercise decisions.
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Yield Curve Construction and Smoothing: Example of NSS Model
May 11, 2025
A comprehensive guide to fitting yield curves using the Nelson-Siegel-Svensson model, including parameter estimation, optimization techniques, and practical applications in central banking and risk management.
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Credit Risk Modeling: Example of Credit Valuation Adjustment
May 4, 2025
A comprehensive guide to estimating PD, LGD, and EAD for counterparties, and calculating Expected Loss and Credit Valuation Adjustment using statistical modeling and Monte Carlo simulations.
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Simulate future short-term interest rates: Example of Vasicek model
April 20, 2025
A comprehensive guide to simulating future short-term interest rates using the Vasicek model, a widely used mean-reverting stochastic process.
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Calculating Spreads using bootstrap techniques
April 13, 2025
Example of Option Adjusted Spread for MBS using bootstrap techniques in finance.
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Using Mean-Reverting Process to Estimate Volatility
April 7, 2025
Example of Ornstein-Uhlenbeck process for estimating volatility and drift in time series.
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Repeat-Sales Transaction Index for Custom Indexes
April 1, 2025
Example of Home Prices using repeat sales transaction methodology.
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Forecast future interest rates and discount cash flows
March 22, 2025
Example of Heath-Jarrow-Morton (HJM) framework for interest rate modeling.
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