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.

Rule 18f-4 (SEC, Use of Derivatives)

Posted on January 6, 2022 by alundarwood

The below is copied from the SEC website. Limits on Value-at-Risk (VaR) Any appropriate VaR methodology VaR methodology adopted should account for equity price risk, interest rate risk, credit (spread) risk, (foreign) currency risk, etc. Modelling should account for non-linear … Continue reading →

Posted in Risk management | Leave a comment

Understanding Volatility

Posted on February 4, 2019 by alundarwood

We usually think of volatility as the standard deviation of a series, e.g. price returns however while this applies to historic volatility (ex-post) what do we do when it comes to addressing expected volatility (ex-ante)? Three types of models: -local … Continue reading →

Posted in Risk management | Leave a comment

Sanlam Cape Town Marathon, 23 September 2018

Posted on September 25, 2018 by alundarwood

My 4th CTM and a much better performance than last year. The route change via Sea Point was really appreciated (versus Mordor).  

Posted in Swimming, cycling & running | Leave a comment

Greyton Brew Run, 20km, 25 August 2018

Posted on August 29, 2018 by alundarwood

Great to be back in Greyton, some lovely running (road & trail) and awesome MTB opportunities. My first attempt at this event, must admit i did not realize it was 1000m of elevation but excellent training… A really fantastic run, … Continue reading →

Posted in Swimming, cycling & running | Leave a comment

Hout Bay Trail Challenge, 40km, 28 June 2018

Posted on July 30, 2018 by alundarwood

A wonderful run around Hout Bay, it took Steven and myself 8hours to cover the 40km ~ so not an easy run (more like a walk).            

Posted in Swimming, cycling & running | Leave a comment