Bootstrapping vs. Multi Curve
Valuing derivatives is a two-step process. Step 1 forecasts forward rates. Step 2 discounts them to PV using a curve…
Blog
ISIC: The Global Backbone of Industry Classification
This week, I want to step back and look at the framework that quietly shapes them both: ISIC, the International Standard Industrial…
Classifications: Examining NAICS
Having explored Europe’s NACE system last week, I want to turn this week to a similar framework that organizes economic…
Neural Networks: Pricing Bermudan Swaptions
The future CFs of a Bermudan swaption trade are determined by 1) the T&Cs contained in the trade’s term sheet…
Classifications: Examining NACE
This week, I turn to the industry classification system that matters most for regulation and reporting across Europe: NACE, short…
Classifications: Exploring GICS
This week, I kick off my mini-series on the major classification frameworks you’ll find across financial data systems. I’ll be…
Mini-Series: Classifications in Capital Markets
If you’ve followed some of my previous email series, like the recent ones on domain values and data vendors, you’ll…
Interest Rate Risk in the Banking Book (IRRBB)
The profitability of a bank is determined by the behaviour of its future expected cash flows. The BB contains held-to-maturity…
Technical Spotlight: SIX Group’s Valordata Feed
In my earlier posts, I examined ICE APEX and LSEG DSP within the context of migrating between data products from the same provider. This…