FRM part II review (Nov 2017, Singapore)

I was busy with mugging for the FRM part 2 exams as well as a semester of undergraduate studies and an internship and hence was not able to post for a while back. At last, exams are over and below is my general comments on the FRM part II exams which I posted in BionicTurtle... Continue Reading →


Recap: Trading the Curve jargons

Short end vs. Long end As you come across short rate interest rate mean-reversion models i.e. Hull-White model that has a time-dependent long term rate and time-dependent short term rate, there are short term policy rates that prices expectations of changes in policy rate that transmits through the entire curve, as well as the long... Continue Reading →

Capital Asset Pricing Model (CAPM)

While I am a believer of APT more than of CAPM, I will share some of my findings on CAPM. CAPM has many flaws: there are capital taxes, high transaction cost on illiquid securities with few floating shares, licensed leveraged funds do influence prices with outsized positions, different analyst has a different expectations of a... Continue Reading →

Is inflation targeting still a macroprudential goal for central banks? What does a large foreign exchange reserve means?

Concerns about recent Fed hiking was also about the years of undershooting inflation targets set by the Fed, and the Fed behind the curve with respect to rising inflation. Accordingly, policy should be set with a view to achieving modestly above-target inflation, perhaps 2.3 or even 2.5 per cent, during a boom with the expectation that... Continue Reading →

Basel I Minimum Capital Requirements

In the business of taking risk on both sides of the balance sheet, holding capital is necessary to provide protection against unexpected losses. This is not the same as expected losses, which are covered by provisions, reserves and current year profits. Basel I map out the risk weights for any credit (counterparty) exposure for on-balance sheet assets, as well as further... Continue Reading →

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