Welcome to the website of Farooq Ahmed on financial and risk modelling. This section consists of some of my models & tools handy in pricing for "Value At Risk", derivatives pricing , stress models and capital calculations.

Feel free to comment or / suggest at [email protected] .

  
Quantitative Trading

• Technical Trading Models with Filters for Index Trading.( Extension work from my thesis on - Technical Trading Rule)

Derivative Pricing & Hedging

• Structured FX Derivatives (GFX Payoff, Pricing and Value at Risk using Monte Carlo)

• FX Option Pricing using Monte Carlo ( Written in VBA)

• MATLAB ^TM FX Structured Derivatives Pricing Pay off & Greeks (Graphical pay-off Version and measuring structures price and greeks)

Financial Analysis

• Yield Curve (Handy Tool, for analysis of yield curve)

Market Risk

• Value-at-Risk for FX Portfolio (The VAR calculation uses Variance/Covariance Method with Correlation effect)

• Value-at-Risk for Fixed Income Portfolio (The VAR calculation uses Variance/Covariance Method with Correlation effect and Mark-to-Market using Rate Method)  

• Stress Testing for FX Portfolio (The Stress testing based weighted average method)  

• Back Testing - Value-at-Risk for FX

• FX Capital Calculation Model using BASEL II IMA ( Internal Model Approach)  (Require Excel 2007 version / use Excel 2007 Converter)

• Combination Value-at-Risk Model (under construction)

• BASEL II Capital Charge using RISK METRIC TM Model for Portfolio (under construction)

• Value-at-Risk Model using  Model Combination Framework( under construction)

• EWMA (Exponential Weighted Moving Average) Models on VAR on FX Portfolio (under construction)

• Garch 1,1 Models on VAR predication on FX Portfolio (under construction)

Asset Liability Management (under construction)

• Treasury Balance Management Framework, A summarized analysis on balances sheet management and liquidity risk analysis.

• Treasury Balance Sheet Management Framework Optimization

• Asset and Liabilities Management Framework, A summarized analysis

Credit Risk (under construction)

Operational Risk (under construction)

Matlab Models (under construction)

Matlab TM- Option Portfolio Pricing

Matlab TM Excel - Delta Neutral FX Option Portfolio

Matlab TM Excel - Value-at-Risk for