Illustrates an example of Frechet distribution
Illustrates an example of Frechet distribution?
Expert
Fit a Frechet distribution to the twenty eight annual maxima of the SP500 index returns since 1960 to October 16th 1987, the business day before the ’87 crash. In that dataset the major fall was ‘just’ 6.7 percent. Now calculate the probability of different returns. For illustration, a 50-year return level is the level that on average must only be exceeded in one year every 50 years. The Frechet distribution provides the result as 24 percent. One business day later the index falls 20.4 Frechet.
What is Margin Hedging?
If the cost benefit of interest rate swaps would probably be arbitraged away in competitive markets, what other explanations present to explain the rapid development of the interest rate swap market?All kinds of debt instruments are not always o
Describe the three major trends which have prevailed in international business at the time the last two decades.The 1980s brought a quick integration of international capital & financial markets. Impetus for globalized financial markets prim
How two stocks fully correlated over short timescales?
Explain identical distributions required or not in the central limit theorem.
Give an example of restrictive covenants that could be given in a bond’s indenture?
Explain decision features in Monte Carlo method.
Illustrates an example of complete market with volatility?
How is Gamma hedging more precise form of hedging that theoretically eliminates?
Is there margin option on long positions? Explain.
18,76,764
1955453 Asked
3,689
Active Tutors
1447335
Questions Answered
Start Excelling in your courses, Ask an Expert and get answers for your homework and assignments!!