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Metallgesellschaft Case on...
Added 10-Nov-08
Rated 2.08 | 184 Views | 0 Comments
In MG, the underlyings were short
positions in long-term forward contracts
to deliver oil. The hedge was a
stack-and-roll hedge: long positions
in...
Submitted by: bionicturtle
06:19
Surplus at Risk (SaR)
Added 07-Nov-08
Rated 0.00 | 21 Views | 0 Comments
SaR is value at risk (VaR) for a pension
fund.
Submitted by: bionicturtle
05:29
Best Hedge
Added 06-Nov-08
Rated 0.00 | 29 Views | 0 Comments
The best hedge is based on portfolio
volatility in the mean-variance
framework. Specifically, 1. Given a
current portfolio with value (W), and
2....
Submitted by: bionicturtle
05:55
Risk-adjusted Performance...
Added 05-Nov-08
Rated 3.31 | 77 Views | 0 Comments
RAPMs are variations of: return per unit
of risk. Treynor and Sharpe are similar:
both are excess return per unit of risk.
Treynor defines risk as...
Submitted by: bionicturtle
09:46
Security Market Line (SML)
Added 04-Nov-08
Rated 2.18 | 160 Views | 0 Comments
The security market line (SML) plots the
expected return of an asset (or
portfolio) as a function of the asset's
beta.
Submitted by: bionicturtle
00:29
Capital Market Line (CML)
Added 03-Nov-08
Rated 2.22 | 159 Views | 0 Comments
The capital market line is determined by
a mix of: the riskfree asset and the
market portfolio. The market portfolio,
in turn, consists of all risky...
Submitted by: bionicturtle
00:36
Marginal Value at Risk...
Added 31-Oct-08
Rated 4.87 | 200 Views | 0 Comments
This is a review which follows Jorion's
(Chapter 7) calculation of marginal
value at risk (marginal VaR). Marginal
VaR requires that we calculate the...
Submitted by: bionicturtle
10:04
Two-asset Portfolio Volatility
Added 30-Oct-08
Rated 2.24 | 94 Views | 0 Comments
The very traditional (mean-variance) two
asset portfolio volatility is largely a
function of asset
correlation/covariance.
Submitted by: bionicturtle
08:35
CreditMetrics - Part 2
Added 29-Oct-08
Rated 0.00 | 44 Views | 0 Comments
The next building block is mapping
transitional probabilities to standard
normal variables; then using a bivariate
normal to capture joint...
Submitted by: bionicturtle
09:23
Bivariate Normal Distribution
Added 28-Oct-08
Rated 0.00 | 88 Views | 0 Comments
The bivariate normal distribution
(common in credit risk) gives the joint
probability for two normally distributed
random variables
Submitted by: bionicturtle
08:36
