Financial Modeling

If a trader needs to unwind a large position, he or she is exposed to: the potential loss from price movements, and trading liquidity risk The trader may wish to minimize the Value-at-Risk (VaR) after considering the trading costs (or cost of liquidation). What is the...
Financial Modeling

Value-at-risk (VaR) is a popular risk measure used in financial institutions to measure the risk in their portfolios. It measures the minimum loss within an interval period at a given probability (e.g. 1% or 5% being the commonly used figure). For example, if a...
Financial Modeling

The tree-based method is an easy-to-implement model for option pricing, and it can be used to value about any type of options (American options, barrier options, digital options, Asian options, etc). In this tutorial video, I will implement the popular Cox, Ross, and...
Financial Modeling

How do bond managers target their bond portfolios to meet a liability payment sometime in the future? Given that bond value fluctuates due to changes in interest rates and spreads, how do we maximize the chances that the bond portfolio will be sufficient to cover for...
Financial Modeling

When we model a problem, we will usually have a set of inputs, feed it into the model and we get the output. There are also times, when we have a target output and we want to know what the input value (out of all the other inputs) would be in order to achieve that...
Financial Modeling

Let’s say you have a client who wants to construct a stock portfolio, and she chose the following stocks: Apple (AAPL) Boeing Airlines (BA) Netflix (NFLX) Tesla (TSLA) Your client has stated that the objective of maximizing the Sharpe ratio of her portfolio. Her...
## Recent Comments