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Backtesting VaR

Backtesting attempts to verify whether actual losses are reasonably consistent with projected losses.It compares valu...

Owais Siddiqui
24 Oct 2022
1 min read

Option Adjusted Spread

The option-adjusted spread is spread that makes sure that the model value (calculated by the PV of projected cash flo...

Owais Siddiqui
24 Oct 2022
1 min read

Sovereign Risk

Sovereign Risk is the risk that the country will default on its financial obligations.

Owais Siddiqui
23 Oct 2022
1 min read

Conditional Prepayment Rate

The CPR is the annual rate at which a mortgage pool balance is assumed to be prepaid during the life of the pool.

Owais Siddiqui
23 Oct 2022
1 min read

Counter Cyclical Buffer

Basel III recommends that banks have a capital buffer to protect against the cyclicality of bank earnings, called the...

Owais Siddiqui
23 Oct 2022
1 min read

Vasicek Model for Probability of Default Modelling

Vasicek Rate Model refers to a mathematical method of modeling the movement and evolution of interest rates.

Owais Siddiqui
23 Oct 2022
2 min read

Unexpected Loss

Unexpected loss refers to the amount that a company could lose in addition to its average (anticipated) loss possibil...

Owais Siddiqui
23 Oct 2022
1 min read

Basel Accord

The Basel Accord is a set of agreements on banking regulations concerning capital risk, market risk, and operational ...

Owais Siddiqui
22 Oct 2022
1 min read

Sample Covariance

The sample covariance estimator uses the sample data for the expectation operator.The sample correlation is generated...

Owais Siddiqui
22 Oct 2022
1 min read

What is Seasonality?

Seasonality in a time series is a pattern that tends to repeat from year to year. Seasonality is mostly linked with s...

Owais Siddiqui
22 Oct 2022
1 min read