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14
votes
2answers
793 views
From a high frequency point of view, with a price prediction and assuming infinite leverage, how do you determine optimal trade size?
I have read about something like Kelly criterion for long term expectation maximization assuming a fixed starting bankroll. But if one can assume unlimited leverage, and one has a signal for a price ...
3
votes
5answers
848 views
Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
I need suggestions for some good books on the following topics:
Credit Value Adjustment (CVA) / Credit Risk
Probability of Default / Loss-Given-Default / Exposure-At-Default modeling
Any pointers ...
4
votes
1answer
192 views
Derive a short rate model from HJM
Suppose we are assuming the HJM framework. My question is, if it is possible to derive for different choices of the volatility function $\sigma$ (and hence of the drift function) the most common short ...
1
vote
1answer
616 views
Calculating portfolio allocation beta with different asset classes?
I'd like to calculate portfolio allocation beta on a portfolio that has different asset classes. The portfolio may be made up of:
...
