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Intro to Quant Finance: Value at Risk (VaR) Posted by: bionicturtledotcom
Video duration: 588 seconds The basic approach to VaR is delta normal: a scaled standard deviation Related: excel, finance, quant, quantitative |
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Intro to logarithms Posted by: bionicturtledotcom
Video duration: 594 seconds The inverse of a logarithmic function is an exponential functions. And if we use a base of natural e, we can compute continuously compounded returns Related: finance, quant |
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Credit default swap (CDS) Posted by: bionicturtledotcom
Video duration: 357 seconds A CDS is a bilateral contract between two counterparties. The protection buyer is buying insurance: he/she pays premiums in exchange for a payoff in case there is a CREDIT EVENT (a trigger) Related: excel, finance, quant |
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Normal probability distribution Posted by: bionicturtledotcom
Video duration: 560 seconds Review of the normal density function and its key properties Related: excel, finance, quant |
![Bayes\](http://img.youtube.com/vi/pPTLK5hFGnQ/2.jpg "Bayes\") |
Bayes' Formula Posted by: bionicturtledotcom
Video duration: 397 seconds Bayes' Theorem formulas an intuitive idea: we adjust our perspective (the probability set) given new, relevant information. Formally, Bayes' Theorem helps us move from an unconditional probability (what are the odds the economy will grow?) to a conditional probability (given new evidence, what are the odds the economy will grow?) Related: finance, quant |
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Binomial distribution Posted by: bionicturtledotcom
Video duration: 597 seconds The binomial is one of the basic distributions, yet surprisingly common in risk and quant finance. Here I take a look at its key properties and compare the formula to Excel's built in =BINOMDIST() Related: excel, finance, quant |
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Regression #1: Sample regression function (SRF) Posted by: bionicturtledotcom
Video duration: 450 seconds The population is unobserved. We draw samples and make inferences based on the samples. Each sample has a sample regression function (SRF). Related: econometrics, finance, quant, regression, statistics |
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Coefficient of determination (r-squared) Posted by: bionicturtledotcom
Video duration: 590 seconds In a linear regression, you often see the R-squared quoted. To explain the R-squared (coefficient of determination), I compare it to the standard error of estimate (a measure of the line's accuracy) and the correlation (the square root of the coefficient of determination). All three, loosely speaking, are measures of the line's fit to the data Related: excel, finance, quant |
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Correlation & Covariance Posted by: bionicturtledotcom
Video duration: 593 seconds Covariance is a measure of relationship (or co-movement) between two variables. Correlation is just the translation of covariance into a UNITLESS measure that we can understand (-1.0 to 1.0) Related: finance, quant |
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Regression #2: Ordinary Least Squares (OLS) Posted by: bionicturtledotcom
Video duration: 568 seconds OLS minimizes the residual sum of squares (RSS). RSS is the sum of each squared residual (residual = the observed Y minus the predicted "on the line" Y). Also, about the OLS: the average residual is always zero, and the line passes through the point (average X, average Y) Related: econometrics, finance, quant, regression, statistics |
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Collateralized debt obligation (Balance Sheet CDO) Posted by: bionicturtledotcom
Video duration: 456 seconds A balance sheet CDO transfers credit risk from the bank (originator) to investors. A key aspect of a CDO is that investors have different (tranched) securities. Related: excel, finance, quant |
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Combinations and permutation Posted by: bionicturtledotcom
Video duration: 428 seconds Both count the ways that (r) objects can be taken from a group of (n) objects, but permutations are arrangements (sequence matters), while combinations are selections (order does not matter). For example, how many ways can you seat people at a table? That's permutation. How many poker hands are available in five-card draw? That's a combination Related: excel, finance, quant |
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Intro to Quant Finance: Volatility Posted by: bionicturtledotcom
Video duration: 644 seconds Volatility is the standard deviation of period returns Related: excel, finance, quant, quantitative |
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Intro to Linear Regression Posted by: bionicturtledotcom
Video duration: 314 seconds A really brief introduction to the "best fit" line through X:Y data. Related: finance, quant |
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Confidence interval Posted by: bionicturtledotcom
Video duration: 496 seconds I illustrate the confidence interval construction with an example: the P/E ratio of 28 companies. The point is to say with confidence (e.g., 95%) that the "true" population lies within an interval. Related: excel, finance, probability, quant, statistics |
