Search results

Hi, I am currently trying to set up an iron condor option strategy but am having difficulty assessing which stocks will have a sideways trend in terms of implied volatility (over say a period of a month). I would like to know how to find out which stocks will have low implied volitlity. I...

I have logged the returns of each risk factor and the portfolio and have regressed each risk factor return against the portfolio returns. Then I have assumed that each beta coefficient is equal to the 3 risk factor sensitivities. Could you possibly verify that this is correct and what you meant...

Ok I think I'v got a method to work out the excess returns. What I'v done is take the growth rate in the 2 stock indexs and exchange rate over the two year daily data. I'v then downloaded 3-month treasury bill data for the US for the same time period and worked out the difference between the...

If it helps I'v taken the skeleton framework from the Alexander spreedsheet IV.4 provided with his book, I would post the file but it doesn't seem to be working for some reason.

I was under the impression that I needed to work out the expected excess returns and risk factor sensitivities for each variable in order to calculate simulated returns with required means and volitilities. So I would like to know how to work out the first 2 in order to work out the simulated...

Hi, I am a novice at VaR and I'm currently trying to work out Monte Carlo VaR but am having zero luck. My task is as follows: Estimate the 1-day 95% VaR and the 1-day 99% VaR for an equity portfolio using Monte Carlo simulation with Student t marginal distributions, a Normal copula and...