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 …

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Clippings: Tensorflow and Google Next ’17

Found a couple of excellent videos on YouTube and would like to give a thumbs up here and share with my blog followers.   After looking through the 2 videos below, one will get a much clearer picture of the math formula and a understanding behind the jargons of overly hyped buzz words like "deep …

Struggles of a real time experiment: Reflecting on a losing trade

Yesterday, I was short AUDUSD ahead of the Lowe's speech. Yet did I expect that the Fed's non-meeting FOMC created large shift in positioning in TYU7 and therefore the real rates TIPS or inflation expectation expressed from the YTM curve. Along with those who are shorting US bonds given "relatively soon" QT and higher YTM …

Will Draghi pull the lever and hike rates? ECB Deposit facility rate

It used to be a bane for short-term rate models to have negative interest rates. Cash has alternatives besides holding debts with a fixed income and naturally, creator of the closed form analytical formula to tight pricing options with its sensitivity parameters to market variables and its underlying, Fisher Black, used the max(Shadow rate,0) to …

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 …