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Questions tagged [asset]

The tag has no usage guidance.

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1answer
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Relationship between asset volatility and debt and equity value

So how I understand it, higher asset volatility implies a higher call option price. The Merton Model holds that the value of equity is a call option. This therefore implies that the equity value must ...
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0answers
83 views

Why does a low deposit beta impact asset sensitivity for banks?

(I apologize if this question doesn't fit this site since it's not exactly quantitative, but I don't know a better forum) Why does a low deposit beta impact asset sensitivity? Another question I was ...
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Modern Portfolio Theory Proof--how does increasing number of stocks reduce variance

$Var(Portfolio) = [\sum_{i=1}^N wi^2 * (\sigma_i)] $+ All Covariance Terms Let's say there are two stocks whose covariance is -1; then how would the efficient frontier of the portfolio consisting of ...
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28 views

Checking for Law of one price on example

I have a problem where I need to check if the law of one price applies to one specific example : There are three states with equal probability (1/3) and the securities are given by \begin{equation} ...
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1answer
73 views

How do funds with illiquid assets add new investment to their funds?

As far as I know if you have for example 40% AAA, 40% BBB, 20% CCC with a total of 100k value. And someone new comes and adds 100k you can reallocate their money to fit the 40-40-20 (same as your old ...
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1answer
33 views

Portfolio return through beta [closed]

Considering the beta value of the three assets in my portfolio simulation and the weights of the assets, i have computed the beta of the portfolio itself. How can i calculate the expected return of ...
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0answers
984 views

Correlated assets in Monte Carlo simulation

I'm trying to simulate $N$ correlated assets in Excel in order to estimate a basket option price. For 2 assets, I correlated the two random variables $X_1$ and $X_2$ and then simulate the ...
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34 views

How does a liquidity guarantee for Asset-Backed commercial paper used to finance a Conduit work?

A liquidity guarantee was what a lot of banks used to insure outside investors payments if an asset in a Conduit defaulted. The way they were doing it was not really dispersing the risk evenly ...
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1answer
67 views

Do exchanges issue position ID after order execution?

The portfolio has two types of positions: asset and cash positions. Cash positions are easy. One currency has only one position, so you can add and subtract easily. Asset positions seem to be more ...
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1answer
1k views

Compute I-spread from ASW-spread (or vice versa)

The I-spread ("mid swap spread" or yield-yield spread) is a standlone measure of credit risk, a security against matched maturity vanilla swap rate. Consider a package in which the investor receives ...
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0answers
62 views

student-t asset path

I am trying to simulate an asset path based on a t-distribution. I found a lot of ressources and the fact that it will be difficult to do a path. But now I changed my Geometric Brownian Motion ...
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1answer
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Mathematically: How does increasing the number of assets reduce idiosyncratic risk?

As part of an Asset Pricing Module I'm currently taking, whilst looking at APT Ross (1974), we looked at how according to this model, risk originates from both systematic and idiosyncratic asset ...
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4answers
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Could we have prevented the World Economic Crisis in 2008?

There is an expression - "Too big to fall." - which means that if a bank or a financial institution manages a sufficient part of the financial assets than the state can't afford that this bank or ...
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1answer
2k views

ABS vs covered bonds vs CDO [closed]

What is the difference between asset-backed securities(ABS), covered bonds and collateralized debt obligations (CDO)?
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3answers
2k views

Step By Step method to calculating VaR using MonteCarlo Simulations

In trying to find VaR for 5 financial assets with prices over a long period of time(2000 days worth of data) how would I do the following: Carry out monte-carlo simulation in order to find a VaR ...
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1answer
45 views

Do I calculate weights of assets correctly?

I solved attached question but I am not sure whether I did part a and c correctly. Is there a way to calculate weights of A and B by just knowing their standard deviation and correlation's value?
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0answers
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Are commodities a real assets or a physical assets? [closed]

In CFA Level Reading 45 Commodities include precious metals, energy products, industrial metals, and agricultural products. Real assets are tangible properties such as real estate, airplanes, ...
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1answer
161 views

bootstrap asset allocation

I want to ask if the bootstrap method for asset allocation is preferable. For instance, suppose that we have data for the past returns for two stocks. Is it wise to generate the efficient frontierby ...
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1answer
538 views

Why asset management firms shouldn't be custodian of its own funds?

I am reading the Madoff case. One of the issue is BMIS Firm (Bernie Madoff Investment Securities) were acting as a Asset Management Firm, broker as well as Custodian. Why is it an issue? What sort of ...
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3answers
43k views

What is the difference between asset management and wealth management?

What is the difference between this two concepts?
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1answer
59 views

Data on banks’ leverage

Does someone know free resources to estimate the leverage of the banking and financial sector at an aggregate level? In particular I would be interested in something like Federal Reserve’s Flow of ...
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9answers
2k views

Why would there be a positive risk-free rate?

Most financial models include a risk-free rate or risk-free asset. Why should there be such thing as a positive risk-free rate? I dont see why an asset would provide a positive (real) return if it ...
3
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1answer
240 views

Single Most Important Fact about a Fund - Interview Question [closed]

I recently attended an interview to work as a software developer in an Asset Management company. I was asked by the interviewer: What is the most important piece of information that should be ...
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1answer
108 views

Plain vanilla risk parity with trends forecasting power

I have built an asset allocation model (plain vanilla risk parity) but I would like to adapt the initial asset allocation with respect to potential futures changes in the trends of the assets under ...
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2answers
161 views

Pricing Assets in the S&P Dynamic Asset Exchange

I am attempting to recreate the S&P Dynamic Asset Exchange using the methodology outlined in this paper. I am struggling to 'normalize' the prices of the assets properly. On page 6 of the ...