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Extreme Value Theory
Extreme value theory (EVT) is a branch of applied statistics developed to address problems associated with extreme ou...
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Markowitz Efficient Frontier
The Markowitz efficient set is a mathematical concept that depicts the portfolios that produce the highest predicted ...
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Translation Risk
Transaction Risk refer to the risk when the cash flow of one currency must be exchanged for a future date to settle a...
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Capital Conservation Buffer
The capital conservation buffer (CCB) is meant to protect banks in times of financial distress. It is in keeping with...
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Transaction Risk
Transaction Risk refer to the risk when the cash flow of one currency must be exchanged for another at a future date ...
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What is Stress Testing?
Stress testing is a type of scenario analysis that looks at a financial outcome based on a specific "stress" placed o...
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Bull and Bear Spread
Bull and Bear spread are two common hedging strategies.
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Continental Illinois
Continental Illinois was at one time the largest bank in Chicago which aggressively pursued both commercial and indus...
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Risk Aggregation
In order to determine the total enterprise risk for a financial institution, all risks must be aggregated and analyzed
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What is Potential Future Exposure?
Potential Future Exposure is actually derived from MTM and revaluing the portfolio and considered an estimate of MTM,...