Search results

Hi All, Could anyone out there help me to understand better on any quantitative risk management models in Private Equity. Any readings would also be extremely valuable. Looking forward to any help that I can get on this. Regards Dinu Mathew

Hi David, Hope this query finds you in the best of health. The evolution of credit risk has resulted in transformation of banking organizations from an “originate-and hold” strategy to an “originate-to distribute” strategy. This has resulted in a more widespread dispersion of PE risk...

Hi David Good Day to you. With financial innovation and accompanying complex financial products it becomes imperative to measure PE fund risk which is rapidly moving away from the traditional measures. Do you think we would require any new methodologies for measuring risk that is moving...

Hi David I have couple of doubt in Investment research. If we estimate a well diversified portfolio with limited number of stocks, i.e., the correlation between the stock is less and the stock have high expected returns. Given this portfolio, when we maximise the sharpe ratio from the...

Hi David, One more basic question. How do you think the exchange fits the offset and if I want to estimate the volatility of an option , how Do I do it, apart from estimation of the greeks. Regards Dinu

Hi David This is fantastic. I have read too much into derivatives and find myself at embarassing situations when I get stumbled upon by a basic question. I think I can go ahead with my studies in full force with the backdrop that your forum is there to give me an helping hand. Sudeep...

Hi All It might be a very stupid question and too basic. Forgive me for that. I would like to know how one estimates the strike price in an option since it determines the intrinsic value which is then tied to the greeks. Is it estimated based on the underlying asset price only and if...

Hi David, I am too shocked. Are we really on the verge of a major catastrophe relating to valuation of lehmans bonds. With $270billion at stake I presume why not? Thanks a lot for the response. Regards Dinu

Hi David, On the wake of the bankruptcy of Lehman Bros, I was just looking at how their bonds be valued in the event of the issuer filing for Chapter 11. Could we use the expected recovery rate as the proxy for valuation or is there any other way out. Thanks in advance for the excellent...

Hi David, Thanks a lot! It has made my thinking process a lot less complicated. Regards Dinu

Hi David, I am Dinu. I have a doubt regarding using multivariate GARCH. If a dependant vairable for ex, share returns is assumed to be affected by more than 3 factors how do we account for these in the GARCH functional form, i.e; whether the lag of the dependant variable can also be...