New answers tagged statistical-finance
1
Consider you have positions in $N$ assets, with market values $S$, and that the daily PnL is acquired via multiplying the daily returns vector, which is a random vector with some unknown joint probability distribution.
$$ p = S^T R $$
You are interested in variance of $p$ for constant $S$:
$$ Var(p) = E[(p-E[p])^2] = E[(S^TR - E[S^TR])^2] $$
$$ Var(p) = E[(p-...
2
FRM by GARP; and ARPM by Attilio Meucci are two that come to mind. An alternative is to get an MFE (Master's in Financial Engineering). It is a one year program in most institutions that offer the degree.
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