Tag Archives: volatility
How a Stressful Election Could Stress Your Portfolios
Most market observers agree that the many uncertainties swirling around the US Presidential election are likely to generate volatility in the US equity market that could last well beyond November 3rd.
Calculating Risk Under Market Uncertainty:
There is No Right Answer
When newcomers to the field of quantitative finance are assigned the task of writing up an analysis, they will often show numbers using five, six or even more digits to the right of the decimal point. This may be driven by the part of the brain that craves precision and exactness. Given the unstable nature of financial data, does that mean it is a fool’s errand to try to estimate risk?
Negative Interest Rates
Negative interest rates are a new and strange phenomenon. This concept causes a lot of head scratching, particularly regarding option valuation and VAR calculation, since the lognormal paradigm, applied for the last thirty years, breaks down.