Dear all. I have this practical case that requires me to set up a stoploss for trading book. I am okay with computing VAR, let it be absolute var 1000$, and in relative terms 2% of my current trading book value. But what about stoploss? One option is simply setup it equal to VAR, but this is...
dear all, in the course frm1 we usually regress prices or other raw data rather than their changes or returns. I wonder if this right or wrong? The thing is in practice I want to regress a bond yield ( YTM) over level of base rates. Though it seems logical that any bond YTM must be regressed...
Dear all, I now try to calculate the factor VAR for my fixed income portfolio. The factor VAR assumes that each and every asset in the portfolio has an exposure on a set of the same factors. It’s greatest advantage is no need to calculate too many volatilities and correlations ( I have some 70...
Dear all, I can’t really get the idea why initial and variation margin are generally different? Let’s say market value of a share equals 100 , its 99% 1 day var equals 7. I am a broker and I set margin requirements for my client as 7 to be 99% sure I will not suffer a loss in the next day...
So the situation is like this. A client of us who defaulted recently has a number of nearly distressed bonds which he will give us as a compensation. Accordingly these bonds will become a part of our bond portfolio that constitutes of normal, not distressed bonds. The question to solve is at...
David, I am a bit concerned of voatility. This is given and that is fine, but lets put us for a minute in the shoes of a real trader. Ca you check the example and say if you think I am right or wrong computing volatility in this case of a currency pair. Of course this is only an example, I am...
Dear forumers! I need to dive a little bit in the topic of credit analysis of borrowers. Specificaly I have a portfolio of banks and I need to assess their loans in the light of how well the final borrowers are doing. A very imporant part is analysing their financial statement, business...
What if we have a very low volatility? In the printscreens a changed up and down factors from (1,1;0,9) to (1,01;0,99) respectively. I got funny risk-neutral probabilities (see the printscreens). With such nubers our trees dont seem to work properly? How do you think?
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