New answers tagged risk-management
4
votes
Can Heston volatility model be used to calculate VaR or CVaR?
Certainly! The Heston model is a well-known model in quantitative finance that describes the evolution of the volatility of an asset. It's a stochastic volatility model, meaning it assumes that the ...
0
votes
How to measure Steepener/Flattener/Butterfly sensitivity? (in 01)
I think this question may be referring to something like what's done for curve gamma - a measure that's pretty important to spread options portfolios, for example. Leaving the PCA route aside, one ...
- 996
Top 50 recent answers are included