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 ...
Basic Indicator Approach
The basic indicator approach, is a set of operational risk monitoring techniques institutions under Basel II capital ...
Knightian Uncertainty
One of the critical aspects of Risk Management is to identify risk. Part of the risk identification process is to fil...
Value at Risk (VaR)
Given a particular likelihood of occurrence, the value at risk (VaR) determines an estimated loss amount at a given c...
Realised Returns
Using the initial investment value and its final value, we can calculate the bond's realised return.This calculation ...
Covariance Stationary
The relationships between its current and previous values stay constant. A time series that is covariance stationary ...
Jensen’s Alpha
Jensen's Alpha is a risk-adjusted performance metric representing the average return on a portfolio or investment abo...
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 i...