# 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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### Which is riskier: a call option or the underlying?

A better, clearer, answer is to compute Lambda (leverage) of the option (link) and see if it is bigger or smaller than 1. Lambda is $\Delta \frac{S}{V}$ so we test $$\Delta \frac{S}{V} \lessgtr 1$$ ...
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### What is the best alternative of Quantlib library

The Strata project is the new pure Java market risk quant library from OpenGamma. For more information, see the documentation and GitHub. It is Apache v2 licensed. Strata takes the experience of the ...
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### How to construct a Risk-Parity portfolio?

I am very happy with the following equivalent formulation for the risk budgeting problem (as presented in Bruder, Roncalli, 2012, Managing Risk Exposures using the Risk Budgeting Apporach): Let $b_i$,...
• 2,874
Accepted

### Why is the variance of a portfolio a quadratic form?

if you take the variance of a single asset it scales as a quadratic, $$var(\lambda X) = \lambda^2 var(X)$$ so it's not surprising that the general case gives a quadratic form.
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• 4,963
Accepted