Author Archives: alundarwood

About alundarwood

I am involved in market risk and performance analytics in the financial services industry. My expertise includes portfolio management, fixed income analysis, advanced derivative pricing and building software valuation models.

Addo 100miler – 2 to 4 March 2018

Posted on March 7, 2018 by alundarwood

What an amazing experience, thank you Steven Torrington for being with me training at least 3 days a week since December 2017, it was an experience I will repeat anytime with you. Both Steven and I took advantage of a … Continue reading →

Posted in Swimming, cycling & running | Leave a comment

Basic VBA code

Posted on November 2, 2017 by alundarwood

Attached a spreadsheet with the VBA code, please note this is aimed at the South African market and should be considered a beta version: SpotLinearInterpolation – VBA code to determine the rate from today to a date in the future. … Continue reading →

Posted in Financial modelling | Leave a comment

Value at Risk (VaR)

Posted on November 1, 2017 by alundarwood

Value at Risk (VaR) is a commonly used measure of market risk in portfolios. VaR is formally defined as the ‘predicted loss at a specific confidence level over a given holding period’. The Basel II accords require a 99% confidence … Continue reading →

Posted in Risk management | Leave a comment

Two Oceans Ultra, Cape Town, 4 April 2015

Posted on April 13, 2015 by alundarwood

 Wow, I did it. What an awesome run through the Southern Suburbs of Cape Town. I really enjoyed the views especially from Muizenberg and Ou Kaapse weg. I must admit by the 50km mark I had to dig deep, and … Continue reading →

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Tygerberg 30km

Posted on March 16, 2015 by alundarwood

This run concluded my distance training for the Two Oceans Ultra on the 4th of April. Also by completing this run I have now done the three 30km runs in Cape Town. The run was a lovely 30km route around Tygerberg hill(s). … Continue reading →

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