# All Questions

12,456 questions
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### Do companies' Reuters Instrument Codes (RICs) change over time?

I am merging two datasets: 1) One which includes Reuters US companies' RICs and the number of news linked to each company; 2) Compustat US, taking data from 1996 to 2018. I have few questions: ...
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### Problem in copula fitting

I have returns of 2 stocks: stock1 and stock2. And I want to fit pair copula. I use this libraries library(VineCopula) library(copula) then I select an ...
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### Best practice approach for computing beta

I was wondering how one should choose parameters such as "frequency" of returns (daily, monthly etc.), "time frame" (1 or 3 or 5 years of historical data etc), benchmark (same of the portfolio or the ...
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### What are some scenarios where trading a risk reversal makes sense?

I understand that risk reversal is a bet on the skew of the implied volatility curve. But when would one have a view on the skew of the curve? I understand that one can have a view on the underlying. (...
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### Relationship between Tracking Error and Beta to benchmark

Analyzing an indexed portfolio, can we say there is any relationship between ex-ante TE and Beta to benchmark? Tracking error is the volatility of the difference in returns between the portfolio and ...
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### API returning company tickers found in provided news article

I'm looking for a REST API that accepts a string containing a news article (example below) as payload and returns an array of company tickers (eg TSLA for Tesla) mentioned in the article. Example ...
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### Brownian motion from price-series, what is the time step?

If I assume a given empirical price-series is a brownian motion, I can estimate the drift and standard deviation as long as I know what the time step was when the process was 'generated'. But since ...
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### Approximation of portfolio VaR (after mapping) when Delta and Gamma both equal zero

As titled, I am having trouble estimating the VaR of a portfolio mapped as a function of a single risk factor $S$, in the form : $$V(S) = S^3 - 30S^2 + 300S + 150$$ with current value $S = 10$. $S$...
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### Multi-factor model… forecasting stock returns

I have selected several useful factors for forecasting stock returns. These are statistically significant in sample and I have also done some out of sample forecasts with positive results. Does ...
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### Distribution of the Information Ratio // Mean and Variance Product

We are investigating the distribtuion of the information ratio. However, instead of using the original information ratio defined as IR=\frac{E(r_1)-E(r_2)}{\sqrt{Var(r_1-r_2)}}, \end{...
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### Is it possible to adapt Fama French Model with a 6 factor Model?

I am currently working on my thesis and I was wondering if it was possible to add a new factor to the five model one. This new factor would include the ESG's characteristic of the stock. I would like ...
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### When a bank enters a swap with a counterparty, when does it decide to use a OIS curve as its CSA Term, versus a counterparty specific “CSA Curve”?

What determines whether a swap should be discounted against a standard OIS curve VS a 'custom' CSA curve specific to the swap's counterparty? (such custom curves are marked as spreads to some base ...
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### Forecasting a seasonal series with R

I am working with the program "R". I used the command "seas (X-13)" to deseasonalize my quarterly series, then I did the forecast with it. Therefore my forecast is in deseasonalized terms. Now, I was ...
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### Longstaff Schwartz with future conditional coupons

I've implemented the L-S algorithm for a simple put option. I want to value a more complex derivative which has future conditional coupons which only occur if the option is in the money. How would I ...
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### Understanding the ZABR model (an extension of SABR)

http://janroman.dhis.org/finance/SABR/ZABR%20Andreasen.pdf In this acticle the SABR model is first presented in another form ( see equation 7 in the article ) and then extended to the so called ZABR ...
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### A stringent test of stock return predictability? The role of one-sided hypothesis tests [on hold]

A stringent test of stock return predictability? The role of one-sided hypothesis tests... In a well-published paper, Trading Volume and Cross-Autocorrelations in Stock Returns TARUN CHORDIA ...
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### Is it necessary for $P(K, t) - P(K + s, t) \geq se^{-rt}$ to hold?

Let $P(K, t)$ be a put option with strike price $K$ and expiration time $t$. Let $s > 0$. Is it necessarily true that the inequality $$P(K, t) - P(K + s, t) \geq se^{-rt}$$ holds? I know that ...
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### Portfolio - Default Probability

Suppose we want to identify the frequency of default on a portfolio with a 1000 loans. In the independence case, each firm’s default process follows a Bernoulli distribution with parameter $p = 0.01$. ...
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### Why not just be long VIX and wait for the next volatile period?

Over the past 3 months, VIX has been relatively low. Therefore, there seems to be a "free-lunch" here by just being long VIX, and wait for the next market turmoil (which is happening at the moment ...
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### Time weighted Vega for a VIX future contract

How to calculate the time weighted Vega applicable for a 3 month future contract (Expiring in 82 days)? Vega with S&P500 as base