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# Questions tagged [asset]

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### Measurement of asset quality

In the context of liquidity risk management in a commercial bank, what are the industry best practices to measure the quality of assets? Is it a percentage between 0 and 100, where the higher the ...
• 50
1 vote
1 answer
515 views

### US swap spreads

Traditionally US swap spreads were traded as LIBOR or OIS swaps versus USTs. In the former case the spread at the short end of the curve was very much a function of LIBOR repo spreads. Further, LIBOR ...
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-1 votes
1 answer
77 views

### What is the probability of an asset trending or ranging

Some assets are know(or at-least assumed)to trend more than others. Is the probability of an asset trending equal to the probability of that same asset ranging(i.e 50-50)? Is there a mathematical ...
1 vote
0 answers
215 views

### real vs financial assets [closed]

I want to understand the difference between the real and financial assets. By definition, real assets are structures, equipment, inventories of goods, and land. Financial assets are bank accounts, ...
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1 answer
109 views

### Balance sheet offset to a Prepaid expense amortization

The generally accepted accounting equation is Assets = Liabilities + Equity, or, put simply, stuff owned = stuff owed. I can see how Prepaid expenses are zero-sum assets initially because the credit ...
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1 answer
106 views

### Has anyone ever derived an analytical basket option which gives terminal asset prices individually, by asset?

Random thought I had around what would be an ideal analytical basket formula. If the formula gave terminal prices of each asset instead of a single basket price, you could price any number of exotic ...
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0 votes
1 answer
81 views

### Variation of the trading range

Example: The trading range (in points) for each of the last 5 trading days for asset A is: 5,21,2,15,32 and for asset B is: 5,6,5,5,5. Is there an indicator that ranks assets based on variation of ...
2 votes
4 answers
193 views

### How do funds assess fees to investors?

I am trying to understand how funds incur fee onto its investors. I found out that a typical fund fee structure is 2% of AUM and 20% of the excess profit. If fund received 10MM capital from an ...
0 votes
1 answer
158 views

### Portfolio Optimization constrained to maximum N% of short selling portfolio weights

For mean-variance portfolio optimization with short-selling allowed, but restricted to a certain percentage of the portfolio weights (lets assume N), we can constrain it in the follwoing way: (from j=...
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3 answers
414 views

### How to calculate a Corporate Bond Transaction Price (Bond returns?)?

I am struggling with the concepts and variables of corporate bonds returns. Bai, Bali and Wen (2019) define monthly corporate bond returns as: Where where is transaction price, , is accrued ...
1 vote
1 answer
280 views

### Difference between returns

I have a monthly time series of monthly returns for a specific factor that I'm investigating, the Quality factor QMJ as proposed by Asness et al. (https://www.aqr.com/Insights/Datasets/Quality-Minus-...
5 votes
1 answer
2k views

### How to do Fama French (1993) cross sectional regressions? A few questions

I am still relatively new to asset pricing factor models and have a few questions about my current empirical study. I would be very pleased if you could help me. I have created a new factor which I ...
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2 answers
7k views

### Par par asset swap mechanics

Can a market practitioner explain how par par asset swaps work? I understand the swap fixed leg has the same details as the bond i.e. the fixed rate is equal to the bond coupon rate. The way I look at ...
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### Bond agreggation

I'm working on an asset and liabilities model for life insurance as a school project, one of the inputs of the model is a bond portfolio, for the sake of optimization of computation speed (the model ...
1 vote
0 answers
143 views

### Day-count conventions for the floating leg of an asset swap

Which is the day-count convention in order to compute the floating leg of an asset swap? I don't know if it is: Act/360, Act/365, 30/360 or 30/365.
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1 answer
788 views

### How does one calculate the duration of a cash flow

The question reads: A firm has liabilities as follows: £2,910 at time t = 0 and £7,501 at time t = 4 (time is measured in years). On the asset side the firm has two payments, each for £5,000, at time ...
• 133
4 votes
1 answer
867 views

### Overlapping vs Non-overlapping returns

Suppose I want to estimate the following regression: $R_t=\alpha + \beta X_{t-1} +\epsilon_t$. Where I use asset returns as the dependent variable. Both overlapping as well as non-overlapping returns ...
• 49
2 votes
3 answers
2k views

### Calculating Correlation of Two portfolios?

So I'd like some help w/ this question. Given 3 assets with means, variances, and correlation: Two portfolios are created (A and B), each with the three assets above with weights ($w_n$) as follows: ...
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1 vote
0 answers
63 views

### Understanding how to calculate Hedge Fund Net Asset Value (NAV), and getting a better grasp of the business purpose of a Hedge Fund NAV [closed]

Sorry if I sound naïve, but I'm new to the financial field(especially new to quantitative finance). I've seen 2 types of definitions for NAV when I search the internet. NAV = (Assets - Liabilities) ...
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2 votes
1 answer
654 views

### 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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2 votes
1 answer
94 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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1 answer
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### 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 ...
0 votes
0 answers
3k 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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1 answer
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### 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 ...
-1 votes
1 answer
4k 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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1 vote
0 answers
305 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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1 answer
116 views

### 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 ...
4 votes
4 answers
732 views

### 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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1 answer
3k views

### ABS vs covered bonds vs CDO [closed]

What is the difference between asset-backed securities(ABS), covered bonds and collateralized debt obligations (CDO)?
3 votes
3 answers
4k 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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1 answer
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### 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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0 answers
196 views

### 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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1 vote
1 answer
269 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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2 votes
1 answer
808 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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5 votes
3 answers
47k views

### What is the difference between asset management and wealth management?

What is the difference between this two concepts?
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1 answer
67 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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4 votes
9 answers
3k 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 ...
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3 votes
1 answer
310 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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0 votes
1 answer
156 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 ...
2 votes
2 answers
187 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 ...