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5 Questions

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18

16

votes

3

answers

15k

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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

votes

1

answer

2k

views

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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votes

1

answer

406

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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

votes

1

answer

615

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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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