nfstreasury.blogspot.com
NFS Treasury Blog: High volatility in the FX market – A USD/SEK and EUR/SEK study
http://nfstreasury.blogspot.com/2009/04/high-volatility-in-fx-market-sekusd-and.html
Monday, April 6, 2009. High volatility in the FX market – A USD/SEK and EUR/SEK study. Volatilities in the FX market have not been higher for decades. I have been studying volatilities back to the early 80-ties and the fluctuations we have seen the last 6 months are extreme. Below are two examples of return time series presented [USD/SEK and EUR/SEK]. Subscribe to: Post Comments (Atom). Partners from NFS - Experts in Treasury. Blogging on topics concerning financial markets, treasury operations, risk man...
nfstreasury.blogspot.com
NFS Treasury Blog: April 2009
http://nfstreasury.blogspot.com/2009_04_01_archive.html
Monday, April 27, 2009. No real effects of the financial crisis so far! You have probably during the last 18 month been bombarded through media with information about the current financial crisis which more and more has become a broader economic crisis. Every day, newspapers, television, magazines and other media are full of information about the crisis. But have you personally felt any big effects from the crisis? We will from now on, very rapidly go over to a new phase in the crisis where:. High volati...
nfstreasury.blogspot.com
NFS Treasury Blog: Bonus programs for sure fulfils their purpose!
http://nfstreasury.blogspot.com/2009/06/bonus-programs-for-sure-fulfils-their.html
Thursday, June 11, 2009. Bonus programs for sure fulfils their purpose! The last couple of month there has been an ongoing debate about bonus programs in US as well as in many European countries. It all started when about 400 top executives at the American insurance company AIG where qualified for getting bonuses of around $165 million for 2008 despite that the company had received more than $170 billion in taxpayer bailout money from the Treasury and Federal Reserve during 2008/2009. I am convinced that...
nfstreasury.blogspot.com
NFS Treasury Blog: Extreme value statistic approaches for estimating Value at Risk (VaR) in a portfolio
http://nfstreasury.blogspot.com/2009/05/extreme-value-statistic-approaches-for.html
Sunday, May 10, 2009. Extreme value statistic approaches for estimating Value at Risk (VaR) in a portfolio. During the ongoing financial crisis it has become more evident than ever how important it is to be able to measure the risk in your portfolio. But how do you appropriately measure the risk in a portfolio? The most common way is to use a Value at Risk (VaR) model where the Variance-Covariance method is the absolutely most used and which most people in the financial sector have heard about. 8221; whi...
nfstreasury.blogspot.com
NFS Treasury Blog: Extreme value statistic approaches for estimating Value at Risk (VaR) – Results from a study covering the FX market
http://nfstreasury.blogspot.com/2009/07/extreme-value-statistics-to-estimate.html
Saturday, July 11, 2009. Extreme value statistic approaches for estimating Value at Risk (VaR) – Results from a study covering the FX market. I have in two earlier contributions discussed the current high volatility in the FX market. Respectively how you can use extreme value statistics to overcome the drawback that the most commonly used VaR method encounter. Assumption about that returns are normally distributed. Block Maxima (Generalized Extreme Value Distribution - BM). Peak Over Threshold (PoT).
nfstreasury.blogspot.com
NFS Treasury Blog: June 2009
http://nfstreasury.blogspot.com/2009_06_01_archive.html
Thursday, June 11, 2009. Bonus programs for sure fulfils their purpose! The last couple of month there has been an ongoing debate about bonus programs in US as well as in many European countries. It all started when about 400 top executives at the American insurance company AIG where qualified for getting bonuses of around $165 million for 2008 despite that the company had received more than $170 billion in taxpayer bailout money from the Treasury and Federal Reserve during 2008/2009. I am convinced that...
nfstreasury.blogspot.com
NFS Treasury Blog: November 2009
http://nfstreasury.blogspot.com/2009_11_01_archive.html
Thursday, November 19, 2009. Companies’ plans for 2010 and lessons learnt from the past months. Irrespective of which industry to ask almost the same answer from all. I.e. the crisis seems to hit all industries almost in the same manner and the preventive and swift measurers taken of the corporate treasury are very similar. Here is a brief list of conclusions. Intensify/strengthened banking relationships and to make an overview to decrease the dependencies on banks, not to be too reliant. Treasury should...
nfstreasury.blogspot.com
NFS Treasury Blog: July 2009
http://nfstreasury.blogspot.com/2009_07_01_archive.html
Saturday, July 11, 2009. Extreme value statistic approaches for estimating Value at Risk (VaR) – Results from a study covering the FX market. I have in two earlier contributions discussed the current high volatility in the FX market. Respectively how you can use extreme value statistics to overcome the drawback that the most commonly used VaR method encounter. Assumption about that returns are normally distributed. Block Maxima (Generalized Extreme Value Distribution - BM). Peak Over Threshold (PoT).
nfstreasury.blogspot.com
NFS Treasury Blog: May 2009
http://nfstreasury.blogspot.com/2009_05_01_archive.html
Sunday, May 10, 2009. Extreme value statistic approaches for estimating Value at Risk (VaR) in a portfolio. During the ongoing financial crisis it has become more evident than ever how important it is to be able to measure the risk in your portfolio. But how do you appropriately measure the risk in a portfolio? The most common way is to use a Value at Risk (VaR) model where the Variance-Covariance method is the absolutely most used and which most people in the financial sector have heard about. 8221; whi...
