Equity value at risk (VaR) model requires implied volatilities with respect to various indices and maturities, which range from three months to five years. A model is presented for generating a term-structure of implied equity index volatilities for use in calculating VaR.

Since 2016, the academic narrative emerging from the Zora Neale Hurston Festival of the Arts and Humanities in Eatonville, Florida, has increasingly relied on a public scholarship model to bridge the gap between institutional practice and community knowledge. Inspired by Zora Neale Hurston’s legacy as an interdisciplinary scholar, these a…[Read more]

A model is used to price a derivative whose payoff depends on returns over N periods on a shrinking basket of originally N assets. Each period, the worst return is added to the cumulative sum after being capped and floored, and the corresponding asset removed from the basket (hence a shrinking basket). The cap and floor rates are given for each…[Read more]

Credit value at risk (VaR) is used for measuring and analyzing credit risk of a portfolio. The basic methodology of the Credit VaR employs the credit migration approach spearheaded by RiskMetrics. It assumes that obligor’s credit quality is determined by the obligor’s asset value, which in turn is approximated by its standardized equity return.

According to Fredson Bowers, writing in Shakespeare Quarterly in 1951, we will never know the printer of that section “until we know everything there is to be learned about seventeenth-century types.” 2 Bowers doubted we could ever list the full set of F4’s printers because F4 was printed anonymously, and the volume left few clues about its…[Read more]

According to Fredson Bowers, writing in Shakespeare Quarterly in 1951, we will never know the printer of that section “until we know everything there is to be learned about seventeenth-century types.” 2 Bowers doubted we could ever list the full set of F4’s printers because F4 was printed anonymously, and the volume left few clues about its…[Read more]