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Results tagged with beta
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user 60151
The beta of an investment strategy corresponds to its relation with the systematic moves of the prices, i.e. the one driven by very common factors. Typically market indexes are benchmarks used to measure the beta against.
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Simulate correlated credit spread
One idea I have is
\begin{equation}
\text{spread}(t) = \alpha - \beta*(R(t) - R) + \epsilon(t),
\end{equation}
with $\alpha>0$, $\beta>0$, $\epsilon(t)$ a gaussian distribution, $R(t)$ the stock return … One problem with this model is negative spreads when the return is of order $\alpha / \beta$.
I am wondering whether this is the right approach, or whether another approach is adviced. …
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