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5 Questions

Votes Activity Newest Views

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16

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Is there a step-by-step guide for calculating portfolio VaR using monte carlo simulations

monte-carlo var portfolio

Oct 28 '18 at 8:40 Yannis 136

5

11

votes

4

answers

3k

views

Why does it take so many lines of code to price even the simplest of options with QuantLib

options pricing quantlib

Oct 28 '15 at 17:37 Community♦ 1

4

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1

answer

2k

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When pricing options, which day counting conventions should be used to calculate time to maturity?

option-pricing

Jan 23 '17 at 17:19 Community♦ 1

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1

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435

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How to calculate the VaR of a portfolio containing Stocks and ETFs?

var

Jan 30 '17 at 22:42 Community♦ 1

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0

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1

answer

788

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Is it OK to consider the expected return is zero for stocks when calculating VaR over a short horizon?

var expected-return

Sep 19 '15 at 23:02 Community♦ 1

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