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5

Autocorrelation of returns can be used as a proxy measure for liquidity of the asset. The degree of serial correlation in an asset’s returns can be viewed as a proxy for the magnitude of the frictions, and illiquidity is one of the most common forms of such frictions. A strongly liquid asset should reveal no serial autocorrelation. You can perhaps build ...


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Couple points for your consideration: At the time of order execution: You are most likely a liquidity taker and thus are rendered a service by those that provide liquidity and you compete for taking liquidity with other takers in the market. As such you need to have a firm grasp at the market impact of your order. Liquidity can be extremely dynamic even ...


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Interesting question. The one book I heard about is "Market Risk Analysis" by Carol Alexander. However I think you should try to search for some company specific materials. Sometimes big banks like Credit-Suisse or Deutche Bank publish some materials which are hard-to-find by other means.


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Lookup something like "free FRM exam" or "FRM exercises". Here is a free exam from GARP itself, with explanations: http://www.garp.org/media/613028/frm%20practice%20exam052711.pdf I hope this helps Good luck!


2

A CFO typically is not involved in managing risk, though that's not always the case. If your hypothetical CFO is involved in the day-to-day managing of FX risk, the following could be useful: MtM VaR & Stressed VaR Expected shortfall Correlation between traded currency pairs Sensitivities (Greeks) If your hypothetical CFO isn't involved in the day-...


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For business purposes, a CFO/CEO typically won't be interested at low-level modeling. Metrics such as: Maximum portfolio gross/net exposure (hence gross/net leverage) Maximum per trade size per product Maximum intraday exposure per product are probably among the more important ones for business decisions.


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Note that \begin{align*} \mathbb{E}\big(L \mid L\geq q_\alpha(L)\big) &= \frac{\mathbb{E}\big(\pmb{1}_{\{L\geq q_\alpha(L)\}} L\big)}{\mathbb{P}\big(L\geq q_\alpha(L) \big)}. \end{align*} The formula follows immediately.


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I'm not an expert of market risk, but, as regards the market risk references I know, the best one and more related to the question posted above is Dynamic Hedging by N. N. Taleb. Here below you can find the full reference: Taleb, Nassim. Dynamic hedging: managing vanilla and exotic options. Vol. 64. John Wiley & Sons, 1997. It concentrates the ...



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