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Author Archives: Jayati WALIA
My experience as a credit analyst at Amundi Asset Management
My experience as a credit analyst at Amundi Asset Management In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) shares her apprenticeship experience as an assistant credit analyst in Amundi which is a … Continue reading
Posted in Contributors, Professional experiences
Tagged Amundi, Apprenticeship, Asset Management, Convexity, Credit analyst, Credit risk, Credit spread, Duration, Fixed-income
1 Comment
Moving averages
Moving averages In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) explains the concept of moving averages and its implementation in financial markets as an indicator in technical analysis of stock price movements. … Continue reading
Posted in Contributors, Financial techniques
Tagged Crossovers, EWMA, Moving average, SMA, Trading
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Returns
In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) explains how returns of financial assets are computed and their interpretation in the world of finance. Introduction The main focus of any investment in … Continue reading
Posted in Contributors, Financial techniques
Tagged Arithmetic return, Logarithmic return, Return
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The Monte Carlo simulation method for VaR calculation
In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the Monte Carlo simulation method for VaR calculation. Introduction Monte Carlo simulations are a broad class of computational algorithms that rely majorly on repeated … Continue reading
Posted in Contributors, Financial techniques
Tagged GARCH, Monte carlo simulations, Risk management, Value at risk, VaR
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Monte Carlo simulation method
In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) explains the Monte Carlo simulation method and its applications in finance. Introduction Monte Carlo simulations are a broad class of computational algorithms that rely majorly … Continue reading
Posted in Contributors, Financial techniques
Tagged Asset Pricing, Brownian motion, drift, GBM, Monte carlo simulations, Wiener process
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Stress Testing used by Financial Institutions
Stress Testing used by Financial Institutions In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) introduces the concept of Stress testing used by financial institutions to estimate the impact of extraordinary market conditions … Continue reading
The historical method for VaR calculation
In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents the historical method for VaR calculation. Introduction A key factor that forms the backbone for risk management is the measure of those potential … Continue reading
Posted in Contributors, Financial techniques
Tagged confidence level, Historical method, Risk, Value at risk, VaR
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The variance-covariance method for VaR calculation
In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) presents the variance-covariance method for VaR calculation. Introduction VaR is typically defined as the maximum loss which should not be exceeded during a specific time … Continue reading
Posted in Contributors, Financial techniques
Tagged Normal distribution, Risk, VaR, Variance-covariance
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Standard deviation
Standard deviation In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents an overview of standard deviation and its use in financial markets. Mathematical formulae To identify the center or average of any … Continue reading
Posted in Contributors, Financial techniques
Tagged Risk, Standard deviation, Statistics, Variance, Volatility
1 Comment
Logistic Regression
In this article, Jayati WALIA (ESSEC Business School, Grande Ecole – Master in Management, 2019-2022) presents an overview of logistic regression and its application in finance. Introduction Logistic regression is a predictive analysis regression method that is used in classification … Continue reading
Posted in Contributors, Financial techniques
Tagged Credit risk, Credit scoring, Logistic regression, Sigmoid
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Bollinger Bands
Bollinger Bands In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents the popular Bollinger bands used in technical analysis. This post is organized as follows: we introduce the concept of Bollinger bands … Continue reading
Trend Analysis and Trading Signals
Trend Analysis and Trading Signals In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents an overview of trend analysis and trading signals in stock price movements. This post is organized as follows: … Continue reading
Credit risk
Credit risk In this article, Jayati WALIA ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents credit risk. Introduction Credit risk is the risk of not receiving promised repayments due to the counterparty (a corporate or individual … Continue reading
Posted in Contributors, Financial techniques
Tagged basel, Credit risk, Default risk, EAD, LGD
1 Comment
Programming Languages for Quants
Programming Languages for Quants In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents an overview of popular programming languages used in quantitative finance. Introduction Finance as an industry has always been very … Continue reading
Capital Asset Pricing Model (CAPM)
Capital Asset Pricing Model (CAPM) In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents the Capital Asset Pricing Model (CAPM). Introduction The Capital Asset Pricing Model (CAPM) is a widely used metrics … Continue reading
Posted in Contributors, Financial techniques
Tagged Beta, CAPM, Market factor, Risk premium
1 Comment
Quantitative risk management
Quantitative risk management In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) presents Quantitative risk management. Introduction Risk refers to the degree of uncertainty in the future value of an investment or the … Continue reading
Posted in Contributors, Financial techniques
Tagged Credit risk, Market risk, Monte carlo simulations, Operational risk, Risk management, VaR
3 Comments
Brownian Motion in Finance
Brownian Motion in Finance In this article, Jayati WALIA (ESSEC Business School, Grande Ecole Program – Master in Management, 2019-2022) explains the Brownian motion and its applications in finance to model asset prices like stocks traded in financial markets. Introduction … Continue reading