Join: Dec 18, 2007
Name: bionicturtledotcom
Gender: Male
Location: US
Videos Watched: 1195
Subscribers: 490
Channel Views: 8282
Videos (123)
How to get portfolio variance/VaR from the covariance matrix
- Length: 10:0
- Rating Average: n/a
- View Count: 1
- Author: bionicturtledotcom
Tags: at Finance portfolio risk value variance
To get portfolio variance, we post-multiply the vector of positions (x) by the covariance matrix, then pre-multiply the transposed vector (x').
How d2 in Black-Scholes becomes PD in Merton model
- Length: 10:0
- Rating Average: 5.00 from 1 people
- View Count: 64
- Author: bionicturtledotcom
Tags: default derivatives Finance merton
In Black-Scholes, N(d2) is the probability that the option will be struck in the risk-neutral world. The Merton model for credit risk uses the Black-Scholes by treating equity as a call option on firm assets. In Merton, d2 becomes the "distance to default" and N(-d2) becomes the probability of...
Risk factors in a forward foreign currency contract
- Length: 7:36
- Rating Average: n/a
- View Count: 92
- Author: bionicturtledotcom
Tags: currency derivative exchange foreign risk var
We use the formula for the value of a forward contract to infer the three risk factors that can be mapped from a forward foreign currency contract: spot exchange rate, domestic interest rate, and foreign interest rate.
Favorites (0)
There is no favorite listing by bionicturtledotcom Channel
