A bank’s net interest income is a sequential decision problem: choose a hedge every month as the yield curve moves. I model the curve with an arbitrage-free ...
I rebuilt my Basel ALM risk pipeline on a more modern, production-grade stack. It also includes a few novel models with the old ones, such as Hull-White 1...
Banks live and die by their cheapest source of funding: customer deposits in current and savings accounts. Unlike a fixed-term bond, these non-maturing depos...
Interest rate risk in the banking book (IRRBB) is one of the fundamental components of Basel III regulations. Supervisors require banks to evaluate the impac...