Questions tagged [finance]

Finance describes the management, creation, and study of money, banking, credit, investments, assets and liabilities as well as the systems to handle these instruments.

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40 views

Determine same issuer from a list of ISINs?

I have a list of ISINs for all the securities that make up a fixed-income fund. Is it possible to tell from this which securities are from the same issuer? I have securities of which I know they are ...
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13 views

Estimate the off balance sheet exposures of a banking book, based on limited data

I am doing an analysis on Off Balance sheet items on a bank. Only data I have is authorized amount and outstanding balance for all the loans the bank currently has. Can I simply take the difference ...
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32 views

Using CFNAI index for identifying sample periods

I'm doing my Thesis on Asset pricing models and I would like to find out the effects of business cycles on the performance of asset pricing models for industry portfolios. My initial idea was to ...
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174 views

Credit default swap replication by corporative bonds

I want to get literature or information related with the topic of CDS replication for those counterparties that do not hold. But that have traded bonds (with different degree of liquidity). What could ...
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68 views

Is it Possible to replicate SPAN?

I currently trade intraday Options on the nearest term expiry and futures. Both E-mini S&P. I am trying to replicate the SPAN margin calculation for the entire portfolio of options and futures. So ...
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1k views

Some definitions in the BARRA Predicted Beta model

I'm studying the BARRA Predicted Beta model, and the common factor covariance between portfolio $p$ and the return on the market $m$ is defined as the product of the transposed vector of the factor ...
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39 views

Is there a quantitative definition of a Quiet, Moderate or Accelerate market conditions?

i know the StdDev price technical indicator which is the standard deviation but this one has an absolute value. The market conditions are: Quiet: lower oscillation of price around a constant ...
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30 views

Which stock price to take for historical ratios in stock screener (EPS etc.)?

We are currently testing a stock screener that we built and want to implement historical ratios in there too - this is working already for all ratios that don't require stock prices (so all ...
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59 views

Pricing methods in the real world when there is more than one free arbitrage price

Perhaps this question sounds trivial and obvious, but I am starting to study this new field. When we are in a complete market without arbitrage opportunities there is only one risk-neutral martingale ...
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99 views

How to calculate Market Return based on an own sample?

I have read several papers and am more confused than clearer about my problem after the reading. I am trying to validate my sample. I use the Schmidt et al. paper (2015) as a guidance to construct ...
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33 views

Identifying primary share class of U.S. firms and deleting excess observations

I have a fairly large dataset of CRSP firms with their daily closing prices from 2006 till 2017. I need to filter the data so that I have one daily observation per unique firm. I've identified the ...
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198 views

Zipline issue with SPY data

I have written a strategy to backtest in zipline, and every time I ran the backtest, and error is showed with the line: IndexError: index 0 is out of bounds for axis 0 with size 0 After a bit of ...
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139 views

European Call Option Modelling under 2 factor Hull White interest rates

I have modelled the yield curve through the two factor Hull White Model. Now I want to implement in Matlab the price development of a ATM-Call-Option (European). Has someone an idea how to combine ...
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209 views

Comparing two models using Wald Test

I would like to use a Wald test to compare two models. To give a basic example, let: $Y_{t}=\alpha+{\phi_1x}_{t-1}+{\beta}_{1}x_{t-1}+{\beta}_{2}x_{t-1}+{\beta}_{3}x_{t-1}+\epsilon_t (A)$ $Y_{t}=\...
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106 views

Idiosyncratic Volatility

I calculate monthly idiosyncratic volatility as the standard deviation of residuals of a Fama-French regression on daily returns. Now assume that within these daily returns there is a price hike due ...
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96 views

Valuation of a company

Alpha Corp purchases Beta Sub. Alpha Corp finances the purchase price of € 100 million by raising € 50 million in debt and € 50 million in equity issued by Alpha. The debt is risk free and the ...
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82 views

Forward exchange rate historical data?

I found that the historical data of forward exchange rate is really hard to find, I'm looking for historical data of JPY/USD forward exchange rate, does anyone have experience in this?
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102 views

Stock returns: Determining the window size

I am looking for a rigorous way to determine a suitable rolling window size for my stock data. Factors that will influence the window size are how fine my data is (minutely, daily, weekly etc.) and ...
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33 views

Is there a reliable International Currency Exchange rates provider in JSON format

I am looking for a currency exchange rate provider (preferrably) JSON format , that is free/open and also reliable. Anybody here have any experiences working with some solutions like this? Cheers!!
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100 views

Can someone suggest some good reads on OAS and Spread Duration?

I have been through the CITI Yield book paper and the OAS by Barclays. Is there is anything else that tackles this topic? Any help would be much appreciated. Cheers!
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54 views

How to find the ideal options trade given certain return distribution?

Suppose I have a probability distribution for the return of a given stock from now until some expiration date. Is there any algorithm/process/software that will take that probability distribution and ...
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156 views

Self financing strategy : how to understand it in continuous + transaction cost model?

I'm having a hard time trying to understand a formula about self financing strategy trading. Let's suppose you have two assets, $\phi=(\phi_0,\phi_1)$ is the vector that represents the quantity you ...
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415 views

question about the market quote from bloomberg

I am a little bit new in finance. Perhaps it is not suitable to ask here, but still, I would like someone can help me. What I have now in hand are normal volatilities taken from Bloomberg for a ...
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544 views

EWMA in python using the arch 3.2 package and pandas

I have a hard time figuring out whether my EWMA calculation of variance is correct when using the python package ARCH 3.2. Currently, I am doing the following: ...
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143 views

How can we observe volatility smile from the market. Drawbacks of Heston Stochastic Volatility Model

Here are two questions related to implied volatilities. a) The set up here is for an European option. We can get its implied volatility smile from calibration, the question is why could we also ...
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1k views

How to calculate the initial payment of a graduated payment mortgage (GPM). Real estate Mortgage analysis

My professor used this: 12%, monthly-pmt, 30-yr GPM with 4 annual step- ups of 7.5% each, then constant after year 4: $$L=PMT \left[ PV(0.01,12,1) + \frac{1.075}{1.01^{12}}PV(0.01,12,1) + \frac{1....
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50 views

what do metrics and indicatives mean in the finance context? Like trading of MBS products

it's often heard in my daily work as a programmer in an investment bank, supporting mortgage backed securities desks (passthrough, agency cmo, cmbs, etc). My take is that the terms describe the ...
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61 views

What is the difference between a three month return and a quarterly return?

I am looking at VGENX, and this product has first-quarter and three-month returns of 7.8% and 20.3%, respectively, according to zacks.com. I take it as the three month return is calculated taking into ...
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1k views

How to backtest Value at Risk Models using Conditional and Unconditional tests?

I am trying to carry out backtesting on a number of Value at Risk figures i obtained using var/covar, historical, and monte carlo simulation. The two methods im using are the Kupiec test (...
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118 views

Generating financial data

I am trying to generate monthly stock data using a one-factor model: $$R_{a,t} = \alpha + BR_{b,t}+\epsilon_{t}$$ The description says: $R_{a,t}$ is the excess asset returns vector, $\alpha$ is the ...
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99 views

Calculate and compare IRR among products and companies

I am trying to calculate return on investment for a couple of companies and their respective products. I have two main products: credit card installment loan Owners would like to be able to compare ...
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93 views

Shrinkage Estimator giving unrealistic portfolio variances

I have a historical covariance matrix which is invertible for daily and monthly returns. I used the Ledoit,Wolf shrinkage estimator for the covariance matrix and now I get really small portfolio ...
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351 views

GARCH estimation does not work, error in my returns?

Hey everyone and I hope that there are some smarter people out here that can help me out with my problem...: I have trouble with my implementation of a GARCH(1,1) model and I do not know how to move ...
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43 views

Annuities problem

First problem is like this: loan amount: 20,000,000.00 First six months: There is no payment but there are interest (grace period) Next six months: payment of 600,000.00 Since 13 month: payment of ...
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130 views

Confused on interpretation of betas/alphas in regression in finance

I ran a regression on two stocks. I don't have the data in front of me, but it is a more conceptual question. Let's say SP500 returned a total 23% return over this time period and MSFT returned 9%...
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64 views

What is the future value of a growing annuity with different periods for payment growth and monthly payments?

How can I modify the formula in this answer so that the frequency of payment growth is also a variable? For example, instead of payments growing by 2% each year I would like them to grow 2% every two ...
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85 views

how to find CVaR/AVaR for triangular fuzzy no

While going through different methods of risk measure i came across AVaR/CVaR, while i was calculating AVaR/CVaR in credibilistic environment using VaR, i got stuck in the calculations eg. For ...
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105 views

Intensity Function of Stochastic Processes

I'm fitting some financial data to a model based on a stochastic process and evaluating the fit of it by looking at the compensator. However, I cannot understand well what does it mean to take the ...
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342 views

Quadratic utility function

May you can help me undertanding the following conclusion: Suppose we have an agent who has preferences over contingent claims, represented by a concave function $U$. This simply means that $\mathbb{E}...
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1answer
10k views

Discount Curve Vs Forward Curve

This could be a trivial question, but would I like to clear the concepts. Our firm started sourcing the Murex Trades which has all the variety of Derivative products. I noticed that the Curve ...
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1answer
938 views

How to calculate break-even point of merged plant/company?

The question goes like this : ...
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1answer
499 views

What is a “monetary non-event” for a corporation?

Not "non-monetary event" because that would make too much sense. I've never really seen this kind of a question before, but someone asked me that question because they didn't know what it meant either,...
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36 views

Calculate VaR using method of historical simulation

A bank invests € $1.000.000$ in a hedge fund. The last 500 daily returns can be taken from a database. The worst 20 returns are -4.58 -2.95 -2.95 -2.93 -2.17 -2.08 -2.06 -1.98 -1.94 -...
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34 views

Chinese Stock Exchange Indexes data and descriptive statistics

I am trying to reproduce the following paper: https://link.springer.com/chapter/10.1007%2F11600930_48 In this study, daily prices from January 4, 2001 to December 31, 2004 for Shanghai Stock ...
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44 views

Derivative Pricing of an Asset

The Stochastic Differential Equation that models the change in an asset price is $$ dS = (12S-sin(S))dt+\frac{\sigma S}{S^2+1}dX $$ where dX's are random variables drawn from standard normal ...
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53 views

Option percentage quotation for structured products

I am having some trouble to understand how option premium can be a percentage for structured products. For example, in an Equity Linked Note, let's say the bond part cost 80% of notional we have 20% ...
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17 views

What is the correct way to calculate Capital Expenditure (CAPEX) for Free Cash Flow (FCF)?

I have seen many definitions of the FCF formula and not a lot of clarity on some of the differences between formulas, and I've gotten completely wrapped around the axle on this. I'm using Investopedia ...
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32 views

Kyle-style models and empirical research

Kyle (1985) introduced a model of insider trading where an informed trader seeks to capitalize on their information by chosing the size of a market order. Of course, many variants thereof have been ...
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31 views

Extreme and rare events affecting the market

There are extreme events affecting the high-probability [short-term] market such as lowering interest rates that rocket stock prices, even though such events are rare and the market's response can be ...
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56 views

Arbitrage strategy from Arrow Securities

I had this exercise and I calculated the prices of the Arrow Securities, π1 = 0.5 and π2 = -0.2. I know that π2 is not arbitrage-free because -0.2 < 0, but I do not understand that how to interpret ...