Risk Management
Lecture 4
Value at Risk (VaR)
October 2, 2017
Prof. Evan Picoult
Risk Management B8116 Fall 2017 Lecture 4
Prof. Evan Picoult
1
CALCULATING VAR
Risk Management B8116 Fall 2017 Lecture
Risk Management
Supplemental reading #3:
Bond Math and Duration
September 11, 2017
Prof. Evan Picoult
Risk Management B8116 - 2017 - Supplemental
Reading #3 Bond Math and Duration
Prof. Evan Picoult
1
Credit Risk
Credit Risk: Pricing, Measurement, and Management
is a part of the
Princeton Series in Finance
Series Editors
Darrell Duffie
Stanford University
Stephen Schaefer
London Business School
Fin
Risk Management
Supplemental Material 10
Spot FX Risk and OCI
September 25, 2017
Prof. Evan Picoult
Market Risk Perspective.
When Does Spot FX Risk Occur
OCI (Other Comprehensive Income)
Risk Manageme
Debt Instruments and Markets
Professor Carpenter
Model Calibration and Hedging
Concepts and Buzzwords
Choosing the Model Parameters
Choosing the Drift Terms to
Match the Current Term
Structure
Hedg
Lecture: 2
Course: M339W/M389W - Fin Math for Actuaries
Page: 1 of 4
University of Texas at Austin
Lecture 2
Black-Derman-Toy.
2.1. The Black-Derman-Toy (BDT) Tree. The basic idea of the BDT model is
Implementation of the
Black, Derman and Toy Model
Seminar Financial Engineering
o.Univ.-Prof. Dr. Engelbert J. Dockner
University of Vienna
Summer Term 2003
Christoph Klose
Li Chang Yuan
Implementatio
BlackDermanToyModelwithForwardInduction
MMA708 Analytical Finance Jan R. M. Rman
BlackDermonToyModel
withForwardInduction
GROUP MEMBERS
Wei Wang
Maierdan Halifu
Yankai Shao
Division of Applied Mathem
Pricing Interest Rate Derivatives Using
Black-Derman-Toy Short Rate Binomial Tree
Shing Hing Man
http:/lombok.demon.co.uk/financialTap/
13th August, 2011
Abstract
This note describes how to construct
Black Derman Toy Model
Assume the following initial term structure and volatility information
Maturity
(Years)
YTM (%)
1
2
3
4
5
0.1
0.11
0.12
0.125
0.13
Volatility
Of Yields (%)
0.19
0.18
0.17
0.16
T
cd05adeb1298eb9e789c1408a1cb3561fc3b8baf.xls
How to Solve the Black-Derman-Toy tree:
1. Set the one year interest rate equal to the yield on a one-year bond
2. Using Solver, set the two rates in the b
Risk Management
Lecture 5
(Accrual interest rate risk and funding liquidity risk)
October 9, 2017
Prof. Evan Picoult
Background Perspective
Net Interest Revenue
What is the difference between accrua