Questions tagged [risk-management]
The identification, assessment, and prioritization of risks, followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events or to maximize the realization of opportunities.
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Volatility of S&P 500 based portfolios too low
I am trying to calculate the volatility of five portfolios consisting of S&P 500 stocks.
The portfolios consist roughly each of 20% of the S&P 500 members between 2015-2022, rebalanced monthly ...
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Fitting a Copula with GARCH volatility to stock returns
I have the log-returns $r_{n,t}$ for 3 stocks, $n=1,2,3$, and $t=1,..,T=365$ days, and I want to model the expected shortfall given arbitrary positions on those stocks.
I calibrate the GARCH model ...
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not understanding ATR calculation
i don't quiet understand the result of the quantity of shares based on the ATR calculation
(800(capital) * 3%(risk) / (2 * 0.44(ATR)) = 27, would the result be in shares?, because based on my risk per ...
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Why are Black-Scholes derived greeks used for risk management when alternatives exist?
To my understanding, it is still quite common for market makers of vanilla options to use Black-Scholes greeks. My concern with this is best expressed by Pat Hagan in the original SABR model paper:
&...
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JP Morgan CreditMetrics
I am trying to apply CreditMetrics on a 2 bond portfolio. As far as I know, this model returns the expected recovery rate and the volatility between those 2 bonds, so my question is how I calculate ...
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Liquidity Stress Test of Investment fund - Liquidation tracking error
It is my first message on this board, I have hesitated a few days before bothering you with my struggles, but I've seen a lot of very knowledgeable and patient people here willing to help out.
I ...
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How to calculate VaR given mean and sd?
Sarah manages a hedge fund with a portfolio valued at \$2,000,000. The portfolio's daily returns have a standard deviation of \$3,000 and an average daily return of \$1,200. Calculate the five-day VAR ...
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How to adjust an assets position to target volatility in a long-short portfolio?
I have a portfolio of weights $\mathbf{x}$ where some positions in $\mathbf{x}$ are short s.t. $\Sigma_i x_i=0$ (dollar neutral).
The standard way to estimate the volatility contribution per asset is ...
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Portfolio construction: Over/underweighting assets with a given active risk budget
I am trying to refresh my knowledge of portfolio risk calculation but would like to get a second opinion on the best approach.
I have a set of 10 assets that together make up the benchmark and I have ...
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Value At Risk Modelling for electricity market with negative prices
I'm a bit at loss after trying to find papers regarding tail risk for electricity markets. There doesn't appear to be a whole lot of literature (or perhaps I haven't managed to find it) regarding ...
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RFQ Engine design in Sell Side
I am new to the eTrading and RFQ world and am learning these applications / services used within sell-side orgs like Investment banks in some details.
As Far as I know , the RFQ engine involves the ...
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Can Heston volatility model be used to calculate VaR or CVaR?
I'm just a beginner and third-year statistics major student. Based on what I read in some journal, most common model that used to calculate VaR or CVAR is GARCH. Is there any possibility that I can ...
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Minimizing variance of market neutral portfolio given factor covariance matrix and stock return predictions
If I am given a return prediction and factor exposures for say 50 stocks, as well as the factor covariance matrix, what is the process to determine the weightings of the minimum variance portfolio, ...
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Selection of Risk aversion in portfolio optimization
I have a portfolio of equities with a cross-sectional score as expected return (mean=0) and am using mean-variance optimization. However, the question is how one selects the risk aversion parameter. ...
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CS01 implied Var calculation
is there any straightforward way to roughly calculate the daily var from the CS01. Mostly from the corporate bond position. thanks,
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