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by riskguru
August 23rd, 2004, 4:44 pm
Forum: General Forum
Topic: Value at Risk for portfolios with linear and non-linear products
Replies: 8
Views: 182202

Value at Risk for portfolios with linear and non-linear products

<t>A more fundamental approach to the question (I hope):The risks in your portfolio include the following:1. Delta risk (impacts all the instruments you described)2. Gamma/Non linearity risk: impacts the options3. Vega/implied volatility risk: Impacts the options4. Rho/theta: Impacts the options (if...
by riskguru
August 19th, 2004, 4:17 pm
Forum: Student Forum
Topic: convexity hedging
Replies: 11
Views: 180250

convexity hedging

<t>Think of the situation where you own a portfolio of mortgages. Given today's yield curve there is an 'expected prepayment' pattern embedded in the valuation of the portfolio. If rates fall unexpectedly, prepayments will increase overall, reducing the duration of the portfolio. If rates rise, prep...
by riskguru
August 12th, 2004, 4:20 pm
Forum: General Forum
Topic: historic credit related timeseries
Replies: 2
Views: 178660

historic credit related timeseries

In particular, try the FMCI function. Gives you Fair Market Curve Indices which includes a variety of corporate and government indices (time series). Enjoy!
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