All Questions

71 views

FX Portfolio Volatility Targeting

If I have 3 different currency trades (ex short EURSEK, short NZDUSD, long USDJPY), how do I size each trade if I wish to allocate risk equally in order to target a 12% portfolio volatility (allowing ...
24 views

Calculating the rate of return over a year then the data for a year before does not exist

I am trying to find the growth rate of a stock over a given year. Let's say I wanted to find the growth rate from today, June 11, 2015 to June 11, 2014. This is easy enough when you have perfect ...
110 views

Parametrizing the Radon Nikodym

The following is an excerpt from the dialogue in the book "Counterparty Risk and Funding - A Tale of Two Puzzles", regarding the statistics such as the volatility and correlation estimation under the ...
236 views

Physical or Real-world Probability Measure

For counterparty credit risk, in particular, for potential future exposure computation, people use the real-world probability measure to evolve the underlying risk factors. My question is that whether ...
85 views

Reproducing levels when PCA has been done on changes

I want to use PCA for rich/cheap analysis of interest rates. For this I did the PCA on the time series of daily difference in interest rates, which is stationary. I cant do pca on levels, as they are ...
103 views

Books on Market Risk for practice problems

Are there any books with practice problems for Market Risk, with special emphasis on vanilla and exotic options? Or should I look into old exam papers from FRM as sold by Kaplan/GARP?
162 views

Value of European Call equals Value of American Call, Question on Explanation/Proof

I am reading S. Shreve, Stochastic Calculus for Finance, Vol. I. There he proves that American Call Options have the same value as European Call Options. In the proof he uses that for a Call option ...
83 views

Swiss Zero-Coupon Bond Yield Curve Data

I am trying to access the Swiss Zero-Coupon Yield Curve Data. I know that the Swiss National Bank provides this data, as noted on the 8th Page of this paper under Section 3.2. However, I am for the ...
241 views

Basic LIBOR curve question

I'm new to the quant finance and have a very basic question about LIBOR curve. LIBOR is published every day for 4 different tenors (1M, 3M, 6M, 1Y), and each rate means how much annual interest ...
176 views

Using cross-sectional factor model (BARRA type) returns in a time series factor model (Fama-French type)?

This may be seen as a follow up question for the previous discussion on time-series vs cross-sectional factor models: Which approach to estimating fundamental factor models is better, cross-sectional ...