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seen Mar 11 at 17:45

Feb
13
awarded  Popular Question
Dec
23
accepted Distinction between “risk factor” and “market anomaly”
Dec
21
asked Distinction between “risk factor” and “market anomaly”
Oct
1
comment What's the intuition behind DTS(duration times spread) in fixed income?
Thanks for the explanation. Perhaps I didn't phrase my question clearly. In the equity world, risk is measured by beta to a "single common" market factor, say SP500. It seems like DTS is essentially a beta to the relative spread change, but this relative spread change can be calculated for each bond. Therefore, I have failed to see how DTS is a measure of exposure to some "common" market factor. My question is whether the analogy to equity beta is the right way to think about it.
Sep
30
comment What's the intuition behind DTS(duration times spread) in fixed income?
No, but I read the subsequent paper by the same authors at SSRN(papers.ssrn.com/sol3/papers.cfm?abstract_id=956825). I guess my question is whether to think about DTS as just a volatility measure or a measure of exposure to some common factor like beta.
Sep
30
asked What's the intuition behind DTS(duration times spread) in fixed income?
Jul
3
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Jul
2
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Mar
26
awarded  Popular Question
Dec
12
asked Replicating portfolio and risk-neutral pricing for interest rate options
Nov
1
accepted Expected length and depth of drawdown
Nov
1
comment Expected length and depth of drawdown
Thanks for the useful comments. Maybe I should clarify a bit. I am more interested in "analytical solutions" that relate drawdown statistics to portfolio assumptions. Even though this is clearly not realistic, I think it can provide insights into the interaction between portfolio parameters and drawdown, whereas simulation probably gives you a better estimate but it's hard to discern insight from the results.
Nov
1
asked Expected length and depth of drawdown
Oct
19
comment Risk neutral probability in binomial short rate model assumed to be 0.5?
I forgot the exact books, but here they are also simply assuming 0.5 risk-neutral probability: link and link. My impression is that, in the stock binomial model, you assume up and down movement and calculate the risk-neutral probability. In the short rate model, you instead assume risk-neutral probability and match up and down movement to what's observed in the market. But I am not sure if this is the right way to view it.
Oct
19
comment Risk neutral probability in binomial short rate model assumed to be 0.5?
What confuses me is that I have seen two introductory level textbooks that simply assume risk-neutral probability of 0.5 as if it should be obvious, without resorting to SDE at all. That's why I thought there should be a simple/intuitive explanation(not that I don't appreciate your explanation).
Oct
18
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Oct
18
revised Risk neutral probability in binomial short rate model assumed to be 0.5?
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Oct
18
asked Risk neutral probability in binomial short rate model assumed to be 0.5?
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28
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