# All Questions

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### What is a Basis Swap Curve?

I know what a Swap Curve is. But I don't understand what a Basis Swap Curve is and how it is constructed? Need some guidance on this.
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### How to pull stock exchange names for a list of tickers, bloomberg?

How to pull stock exchange names for a list of stocks with tickers, on bloomberg? Please advise the steps so as to paste the list of tickers without having to type tickers one by one.
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### Quantiles, Value-at-Risk and log normal random walks…

Sorry, that's probably quite a bunch of silly questions, but I just got lost a bit and need to dot all the i's and cross some t's :). Let's say we have a series of returns (like this one we may get ...
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### When the two time series with different length, how could we analysis them with a bivariate GARCH model?

At this moment, i need to do the analysis of rouble/us dollars exchange rate and the stock market index in Russia, I prefer to do that in a multivariate GARCH model. However, I have a question about ...
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### The importance of good optimizers in Portfolio Optimization

I work as a Quant for an Asset Management and Insurance company and have recently enrolled for Masters degree in Computer Science. I am thinking about investigating how important having a "good" ...
185 views

### Cash flow diagram, interest rate inflow series

I have a econ midterm coming up soon and stumbled upon this question. My approach is: 2C=800/(1.12^2)+1200/(1.12^6)=125.71 or C=1245.71/2=622.85 But I have a gut feeling this is wrong. I believe the ...
184 views

### Getting Parameter of Translated Gamma Distribution from Monte Carlo

Spin-off from here. (Edit) Main question: What do I do about a parameter whose suggested values range quite vastly? (Edit) Backstory: I am given data of loss values and the dates that correspond to ...
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### Compute moments of aggregate loss using Monte Carlo

Spin-off from here. Richard referred to me an article that tells me how to get parameters of a translated gamma distribution to which I should consider fitting simulated aggregated loss values. The ...
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### What is the proper discounting of PIK and non-compounding bullet loans?

This question pertains to two types of loans. Pay-in-kind (PIK) and bullet loans with quarterly payments. 1. PIK Loans A PIK loan is a loan where periodic interest is NOT paid, but added to the ...
282 views

### Get distribution for aggregate loss using Monte Carlo

I am given two data sets containing dates and losses (in some currency). Given a distribution for the amount of losses and an (a,b,0) distribution for frequency of losses, how can I use Monte Carlo ...
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### Foreign exchange - Dealer spreads and order size

Is it true that in foreign exchange markets, dealer spreads are lower for smaller order and increases for larger orders? This seems counter-intuitive when compared to other markets where dealer ...
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### convention in borrowing money in a multiperiod model

I have a question concerning the idea of consumption in multi period. The following is given $$C_1=W_0-xS_1+B$$ $$C_2=xS_2-BR$$ where $W_0$ is initial wealth $x$ is the weight on an asset with ...
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### Cheapness indicator for Convertibles Bonds

What indicator (or combination of those) could be used to roughly estimate the cheapness of a convertible bonds ? Like the price/earning ratio for equities. Thanks, Max.