The tag has no wiki summary.

learn more… | top users | synonyms

1
vote
0answers
25 views
+50

Credit Rating or Probability of Default from Financial Ratios

Does anyone know of any papers about credit rating development or probability of default estimation done based on financial ratios that also include methodology and maybe good/bad criteria? Something ...
0
votes
2answers
129 views

Historic Value at Risk - Ratios vs. Differences

Quick Summary on Historic VaR Let $S_0,...,S_n$ be the daily values of some stock (where $S_0$ is the current value). Then for $i=1,\ldots,n$ we let $$\hat r_i:=S_{i-1}/S_i \quad \text{and}\quad \hat ...
3
votes
1answer
90 views

How do i test the significance of Sharpe ratio of a strategy using bootstrap

How do i test the significance of Sharpe ratio of a strategy whether it is any different from another strategy ?? How do i get a p-value out of it ? What should be the H0 in the hypothesis testing ? ...