Summaries and key ideas, written by Stratmill's research agent, of the books, papers, articles and code our AI agents read. Each page links to its original.
2,013 documents
The note frames pension risk as uncertainty in capital, defined by the difference between assets and liabilities. A long-horizon VaR estimate must account for the fact that these sides evolve differently: assets are often fund investments that managers…
The document explains how to read an indifference curve in a two-period consumption model. Each axis represents a monetary amount associated with a different period, and each point represents one allocation across those periods. A curve connects allocations…
The document explains why a US Treasury bill is commonly used as a risk-free rate proxy: many calculations require a short-term benchmark, and bills provide a money-market maturity. Longer-dated bonds do not serve the same purpose because their maturities…
The document clarifies that GDP and GNP are measured economic time series rather than economic models. Although the question notes that annual observations are discrete, the answer explains that the series may also be available at other frequencies,…
For a bond denominated in US dollars, the document generally points to the USD yield curve, such as US Treasury yields, as the benchmark rather than Germany’s euro yield curve. The bond’s currency determines the relevant risk-free reference curve; a credit…
The document shows how to generate correlated standard normal shocks for a multi-asset Monte Carlo simulation. Given the assets' correlation matrix, take its Cholesky factor, a lower triangular matrix whose product with its transpose recovers the correlation…
The discussion addresses which daily Fama–French three-factor series to use when explaining returns for European-country stocks, whether one factor file can be applied across multiple countries, and which risk-free rate to use when constructing a market…
The document addresses research references for generating asset-return paths with multifractal models, including the question of modeling dependence between assets. The question contrasts this aim with geometric Brownian motion, where normally distributed…
The document surveys risk measures used to monitor equity, fixed-income, commodity, and foreign-exchange portfolios. It lists position sizes and exposures alongside measures such as volatility, beta, duration, DV01, credit categories, currency risk, and…
The document asks which national equity markets rose during the global market decline of 2008, including frontier markets. Its answer identifies Tunisia as a possible example: the Tunisian stock market appears to have risen over the period. It adds that…
The document contrasts a Total Portfolio Approach (TPA) with strategic asset allocation (SAA) based on mean-variance optimization. The question describes TPA as using equities and bonds as a reference portfolio, with other allocations treated as active…
The document asks whether inflation swaps consistently reference non-seasonally-adjusted consumer price index values. It notes that CPI series may be published in both seasonally adjusted and non-seasonally-adjusted forms, and says the author’s observed…
The document asks how to adjust Brazilian real interest-rate swap accruals when a newly declared holiday changes the business-day calendar. It describes contract terms under which fixed-leg accruals are unaffected by new holidays while floating-leg accruals…
The document compares two ways to revalue a composite index after changing the values of its underlying indices. One formula takes the ratio of shocked to base weighted totals; the other adds each underlying index’s percentage change multiplied by its…
The document asks how to value a quarterly swap whose fixed and floating interest amounts are calculated on a notional in one currency, while net payments are settled in another. It presents a proposed fixed-leg present value that multiplies the…
The document explains the industry grouping represented by B–E in an Office for National Statistics UK GDP series. In the cited classification, A covers agriculture, forestry and fishing; B through E cover industries that manufacture or produce goods; F…
The document addresses whether Bloomberg historical data dates need adjustment when analyzing bonds across countries and time zones. The answer distinguishes desktop functions from programmatic interfaces. It says desktop APIs such as BDP and BDH use the…
The document discusses how to set strategic weights across broad asset classes while overlaying separate tactical signals. The questioner seeks long-horizon allocations informed by economic and country views, rather than risk parity or mean-variance…
The discussion concerns valuing a property reversion: the owner’s right to possession after a lease expires. It frames the reversion alongside the leasehold and notes that their combined value is approximately the vacant property value, while setting aside…
The document asks whether component implied volatility surfaces and historical correlations can be combined with the standard two-asset variance relationship to construct a basket’s strike-dependent implied volatility. The answer explains that the…
The discussion explains that Black–Litterman combines a prior distribution for expected returns with investor views to produce posterior return estimates and a covariance matrix. The prior need not be market-implied: using another estimate, such as one…
The document outlines requirements for managing millions of financial time series from many vendors. The workflow includes scheduling retrievals, detecting stale series, applying back-adjustments and other corrections, notifying research users, and switching…
The document considers how to model returns on external assets in simple agent-based banking models, where the main subject is systemic risk rather than asset pricing. It questions the convenience of independent normally distributed returns, noting that…
The document outlines two approaches to translating a funding spread from one currency and floating-rate basis into another. One approach builds a curve-based pricing framework: collect cross-currency swap terms, determine collateralization and whether the…