FRTB SA Risk Factor Mapping
The primary function of a risk factor is the quantification of market risk associated with a market variable such as…
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Data: The Fuel for Your AI Engine
In Formula 1, even the most advanced car, loaded with cutting-edge aerodynamics and technology, a perfectly tuned engine, and a…
Volatility Surface Calibration
Flattening the residual mountain. The more volatile the price underlying an option, the better its chance of finishing ITM, and…
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…
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…