# Tag Info

### Quantifying climate change risk

Here are some resources that I found useful when learning about this subject, in which I'm very interested. (Some may be more general ESG than just just climate.) Citigroup. Environmental and Social ...
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### Intuitive explanation for expectiles

No reply has been given so I wanted to at least give a visualisation of the expectiles. Suppose the curvy dashed line in my picture represents a cumulative distribution function of some random ...
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### Hierarchical Risk Parity with allocation constraints?

EDITED You are right. We have to look town to the "leaves" in each iteration. I would do it the following way: If $L_i^{(j)}$ is the set of indices in the $j$ branch ($j \in \{1,2\}$), then we ...
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### Intuitive explanation for expectiles

That picture in the other answer is pretty slick (+1), so I will just add a note on why one can interpret the colors of those areas like that: Blue: Define $Y = (X-x)_+$. This is nonnegative r.v., ...
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### Does longer time horizon necessarily imply reduced risk?

It depends upon how you define risk. Assume a constant, positive equity risk premium and an equity index following geometric Brownian motion (GBM): d \log S_t = \mu \, dt + \sigma \, dZ_t = (\hat{\...
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### Structured product sellers and div swaps

The paper is generally correct, but it is not a general statement, as in a general truth of options hedging in a theoretical context, rather a statement regarding how the structured derivs market is ...
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### Structured product sellers and div swaps

To add to the above on a more practical note: In general, SP desks make money on the individual product when the underlying declines. Dividends make the underlying decline, hence they are naturally ...
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