Jawwad Farid
A collection of case studies focused on financial risk management.
Four market risk case studies for your weekend read. China Aviation Oil (Singapore), JP Morgan (London Whale), Ceylon Petroleum (Sri Lanka) & HFT
A Synthetic Credit Portfolio trader, Bruno Iksil, was given the title of the “London Whale” in the April 6, 2012 issue of the Wall Street Journal and Bloomberg. (Hurtado) This case study focuses on the reasons for that article and the series of derivative transactions (involving credit default swaps) which cost JPMorgan Chase & Co. more than $6.2 billion.
A brief review of stress testing guidelines and frameworks in place for banks and FI's in the US, Europe, Singapore and Pakistan.
A step by step case study. Credit risk EL UL & Economic Capital. Step by step expected loss, unexpected loss & required capital under BIS guidelines
Calculating economic capital using Tier 1 leverage ratio as regulatory intervention trigger. Case study based on Goldman, JP Morgan, Citi, Wells & Barclays
Ceylon Petroleum Corporation (CPC) made oil price hedging deals with several banks in 2007 without employing the proper expertise for such a complex option. When the oil market crashed, the hedging deals’ negative payoff for CPC reached several hundred millions. CPC defaulted on the hedging payments which resulted in the banks taking CPC to International Courts in 2009.
Use excel spreadsheet to calculate value at risk for interest rate swap and cross currency swaps.
Extends the analysis for a hedge effectiveness presentation to the board of an airline. Questions answered include reviewing the volatility distribution, P&L distribution, hedge ratios and hedge effectiveness for a fuel hedging program
A step by step approach to building Excel spreadsheets that shows how delta hedging options works using Monte Carlo simulation.
Comparing 4 year probability of default (PD) trend-lines for 5 of the big BBA USD Libor Banks (Barclays, JP Morgan, BAML, HSBC & RBC)
Margin lending to Hedge Funds at Prime Brokerage desk risk management case study.
Fixed income portfolio management case study. Using Excel solver to optimize fixed income portfolios using liquidity, factor sensitivity concentration VaR.
Transcript of FRM Session. Covering volatility (vol), calculating value at risk (VaR) using SMA volatility, historical simulation and VCV approaches.
Built my first spreadsheet model at 14. Hooked up with startups at 27. Now write, mentor, teach and experiment with fastest ways of losing obscene amounts of cash without gambling, banking, trading...
