Questions tagged [asset]
The asset tag has no usage guidance.
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Measurement of asset quality
In the context of liquidity risk management in a commercial bank, what are the industry best practices to measure the quality of assets? Is it a percentage between 0 and 100, where the higher the ...
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US swap spreads
Traditionally US swap spreads were traded as LIBOR or OIS swaps versus USTs.
In the former case the spread at the short end of the curve was very much a function of LIBOR repo spreads. Further, LIBOR ...
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What is the probability of an asset trending or ranging
Some assets are know(or at-least assumed)to trend more than others. Is the probability of an asset trending equal to the probability of that same asset ranging(i.e 50-50)?
Is there a mathematical ...
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real vs financial assets [closed]
I want to understand the difference between the real and financial assets.
By definition, real assets are structures, equipment, inventories of goods, and land.
Financial assets are bank accounts, ...
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Balance sheet offset to a Prepaid expense amortization
The generally accepted accounting equation is
Assets = Liabilities + Equity,
or, put simply, stuff owned = stuff owed. I can see how Prepaid expenses are zero-sum assets initially because the credit ...
- 21
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Has anyone ever derived an analytical basket option which gives terminal asset prices individually, by asset?
Random thought I had around what would be an ideal analytical basket formula. If the formula gave terminal prices of each asset instead of a single basket price, you could price any number of exotic ...
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Variation of the trading range
Example: The trading range (in points) for each of the last 5 trading days for asset A is: 5,21,2,15,32 and for asset B is: 5,6,5,5,5. Is there an indicator that ranks assets based on variation of ...
user59094
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How do funds assess fees to investors?
I am trying to understand how funds incur fee onto its investors.
I found out that a typical fund fee structure is 2% of AUM and 20% of the excess profit.
If fund received 10MM capital from an ...
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Portfolio Optimization constrained to maximum N% of short selling portfolio weights
For mean-variance portfolio optimization with short-selling allowed, but restricted to a certain percentage of the portfolio weights (lets assume N), we can constrain it in the follwoing way:
(from j=...
- 21
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How to calculate a Corporate Bond Transaction Price (Bond returns?)?
I am struggling with the concepts and variables of corporate bonds returns.
Bai, Bali and Wen (2019) define monthly corporate bond returns as:
Where where is transaction price, , is accrued ...
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Difference between returns
I have a monthly time series of monthly returns for a specific factor that I'm investigating, the Quality factor QMJ as proposed by Asness et al. (https://www.aqr.com/Insights/Datasets/Quality-Minus-...
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How to do Fama French (1993) cross sectional regressions? A few questions
I am still relatively new to asset pricing factor models and have a few questions about my current empirical study. I would be very pleased if you could help me.
I have created a new factor which I ...
- 105
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Par par asset swap mechanics
Can a market practitioner explain how par par asset swaps work? I understand the swap fixed leg has the same details as the bond i.e. the fixed rate is equal to the bond coupon rate. The way I look at ...
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Bond agreggation
I'm working on an asset and liabilities model for life insurance as a school project, one of the inputs of the model is a bond portfolio, for the sake of optimization of computation speed (the model ...
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Day-count conventions for the floating leg of an asset swap
Which is the day-count convention in order to compute the floating leg of an asset swap? I don't know if it is: Act/360, Act/365, 30/360 or 30/365.
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