(Un)Calculated Risk | by Peter Orr of Intuitive Analytics

VIDEO: Analyzing Fixed vs Floating using CFaR and Product Efficiency

Posted by Peter Orr on Apr 13, 2012

Using SmartModels Stage III, this video is a case study in analyzing whether to issue fixed or  variable rate debt, both with and without cash on the balance sheet serving as a natural hedge. We calculate Cash Flow at Risk (CFaR) for the VRDBs and then graph the tradeoff between average annual (expected) debt service and CFaR. In the "with balance sheet cash" case, an efficient frontier-esque chart results from showing an optimal amount of VRDBs to issue. 

Read More

Good News for Muni Issuers: Rate and Ratio Correlations Still Work!

Posted by Peter Orr on May 10, 2011


Read More

5 Risks to Capture Using Monte Carlo to Analyze Tax-Exempt VRDBs

Posted by Peter Orr on Mar 25, 2011

"Those who trust to chance must abide by the results of chance."     - Calvin Coolidge

Read More