Tagged Questions

The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
0answers
168 views

Fixed Income Var calculation

I'm trying to calculate var for a portfolio of fixed income securities. I initially want to just calculate undiversified VaR for each instrument. I'm doing the following for each instrument Take ...
1
vote
1answer
40 views

What does “primary calendar” mean?

I was reading the 2013 research rankings article on Institutional Investor and came across the following quote: "We do not expect spread widening in most markets, and we expect the primary calendar to ...