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.
Questions tagged [risk-management]
430 questions
6
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Why write options on a volatility target index?
There seems to be increasing interest in risk controlled products such as volatility target indices and derivatives products on these underlyings. From a risk management perspective what are the advantages of these products?
John Channing
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Types of risk for stock investing
Question:
We suppose that the Toyota is traded in Tokyo in Japanese yen and represented by the price process $(S_t)$ t≥0, and in New York in US dollars and represented by the price process $(U_t)$ t≥0.
What are the sources of risk faced by an…
user3387245
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What are the math topics involved in FRM 1
Is there a way to get the math curriculum for FRM level 1 without purchasing the Exam? I wish to take a look at the math topics and see if I have any chance of cracking it. But I could not find an online resource that lists the math topics required…
Victor123
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Modigliani risk-adjusted performance - marginal contribution
I would like to carry out risk-adjusted return attribution using the M^2 excess return, such that i can express
M^2 excess return = risk free rate + sharpe ratio x benchmark vol - benchmark return
in terms of
M^2 excess return = sum of w_i x…
Factor101
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conditional or unconditional probability in the calculation of LGD
lifetime LGD is calculated by the way of a term structure of PD. But this PD at the end are calculated using conditional or unconditional PD? I have found a Lot of different And confusing definition about that. If conditional PD are used the PD…
Antonio vicini
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What variables are important to describe a loan dataset?
I have a dataset of loans currently paid or charged off and as the dataset is very large I would like to to do a short summary of things I would think is worth knowing about. Yet I don't know a lot about what is important in loan management.
id …
Revolucion for Monica
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Whats the difference between ARCH-M and GARCH-M models?
I have two books, one explains ARCH-M models and one explains GARCH-M models. But I couldn't find the difference between these two types.
macjackson
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Optimal portfolio construction questions
I am working on a paper that tries to build an optimal portfolio to hedge various risks (mainly interest rate risk). I have never done this before. Which software program should I use to create an optimal portfolio simulation?
JungleDiff
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Clarification of The Market Portfolio
I am currently reading John C. Hulls' "Risk Management and Financial Institutions" and came across the following passage related to the efficient frontier and combinations of risky and risk-free assets:
It is a short step from here to argue that…
Gustavo Louis G. Montańo
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What are pre and post stress capital?
Fed papers make reference to a post-stress and pre-stress capital. I can't find definitions of these online, but from the context (below), it sounds like the post-stress capital is the estimated capital resulting from a Fed stress test of a bank…
AfterWorkGuinness
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What's the disadvantage of ARMA-GARCH model?
I want to ask why ARMA-GARCH is more and more popolar, and what's the advantage of this model.
maggie
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