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Spearman’s Rank
The Spearman’s Rank Correlation Coefficient is used to discover the strength of a link between two sets of data. It is denoted by “ρ”
What is marked to market?
Market to Market is one of the most critical aspects of financial markets these days. By definition, MTM is an accrual accounting measure
Ho Lee Model
The Ho-Lee model improves upon the drift to incorporate time-dependency which means that the drift in time 1 will be different than time 2
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Basic Indicator Approach
The basic indicator approach, is a set of operational risk monitoring techniques institutions under Basel II capital adequacy standards.
Knightian Uncertainty
One of the critical aspects of Risk Management is to identify risk. Part of the risk identification process is to filter risks into degrees
Value at Risk (VaR)
Given a particular likelihood of occurrence, the value at risk (VaR) determines an estimated loss amount at a given confidence interval.
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Realised Returns
Using the initial investment value and its final value, we can calculate the bond’s realised return.This calculation is annualised.
Covariance Stationary
The relationships between its current and previous values stay constant. A time series that is covariance stationary is regarded as such.
Jensen’s Alpha
Jensen’s Alpha is a risk-adjusted performance metric representing the average return on a portfolio or investment above or below the capital asset pricing model (CAPM) predicted.
Sox Regulation with Example
The Sarbanes-Oxley Act of 2002 is a United States law designed to protect investors from corporate accounting fraud.
Quantile Function
The quantile function helps you figure out whether values in a distribution are above or below a specific threshold in statistical analysis.
Black-Scholes-Merton Model
Black-Scholes was the first widely used option pricing model, commonly known as Black-Scholes-Merton. Assumption being a non-dividend-paying stock is normally distributed over a short time.