<t>hi, thank you for the reply. but my question is not on the modelling aspects, but on utility front.like in commodities like coffee, sugar, soybean oil, and even in energy commodities like natural gas and metals, the forward quotes are available upto 10 months and even more than that in the market...

<t>Hi all, can some one share on real utility / application of forward curve. i understand that given spot prices we can derive forward prices at different maturities using different models. but when traded forward prices are available in the market like in energy, softs like coffee, sugar (forward ...

<t>Hi all, can some one share on real utility / application of forward curve. i understand that given spot prices we can derive forward prices at different maturities using different models. but when traded forward prices are available in the market like in energy, softs like coffee, sugar (forward ...

<t>Hi all, can some one share on real utility / application of forward curve. i understand that given spot prices we can derive forward prices at different maturities using different models. but when traded forward prices are available in the market like in energy, softs like coffee, sugar (forward ...

hi, you can try this. compute marginal variance of the asset which is equal to correlation between the asset return and the portfolio return with that asset. this will give marginal variance, and use this to compute to marginal var.

Hi all, can someone hint on opportunities in singapore for risk professional having PRM certification and commodity analysts, thks and rgds

Hi all, can someone hint on opportunities in canada for risk professional having PRM certification and commodity analysts, thks and rgds

<t>Hi Mr. Bob, thank you for the opinion. I agree with you that correlation instability will significantly alter hedge outcome based on hedge variance ratio. I am going in two steps. First, rebalance the hedge ratio every week for what ever the time period of hedge (in this way i can even accomodate...

Hi all, can any one found instances where in the "optimal hedge variance ratio" is used in real practice while making hedge decisions (in commodities), like in corporations. may be people doing hedging or with live experience can help me in this regard.

Hi all, can any one found instances where in the "optimal hedge variance ratio" is used in real practice while making hedge decisions, like in corporations. may be people doing hedging or with live experience can help me in this regard.

<t>Hi, adding to the discussion, what happens if the forward contract is cash settled.? in the above ex. the M2M cash credited in case of futures transaction will be 50 cents. However, for forward it is mentioned as present value of 50 cents. ( this holds good if the contract is hold till maturity d...

<t>I am generating var/covar for next day. I have taken time horizon to be next day. I am predicting the next day option price to arrive at the Var/covar matrix to find the next day Value at Risk.I have calculated VaR through my approach. If you are interested I can send you the file so you can anal...

<t>well at the moment yes i am following log normal approach. I have taken the returns to be normally distributed with mean zero.In my portfolio I have two assets i.e. two futures assets X and Y. and I have one option on asset X.problem I am facing is how to calculate var. covarianc matrix. since th...

<t>Hi ,Sorry if anyone will get confused seeing my last threadMy real concern is how to find CALCULATE VAR COVAR MATRIX FOR A PORTFOLIO MADE OF UNDERLYING ASSET (EXAMPLE . FUTURE) AND DERIVATIVES (SUCH AS OPTIONS)CAN SOMEONE TELL ME THE METHODOLOGY AND STEPS INVOLVED AND CAN RECOMMENED SOME LITERATU...

<t>Hi everyone,I have a query. I am aware of how to use monte carlo to find the var for an equity portfolio or an asset portfolio. I am also aware of how to find VaR for option. However my question is how to find VaR and also compute variance covariance matrix for a PORTFOLIO WHICH HAS UNDERLYING AS...