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A portfolio is a basket of financial assets such as stocks, bonds, and loans. We need solid equations for modeling portfolios when valuing basket options, valuing loan guarantees collateralized by a portfolio of risky assets, sizing and pricing risk tranches in structured finance, determining capital requirements for banks, risk assessment, etc. Join Gary Schurman to learn how to build portfolio equations and apply them to real-world problems.
Program Agenda
The transition from a normal to a lognormal world
Modeling correlation
A lognormal equation for portfolio value
Basket options
Credit risk
Other applications
Learning Objectives
Describe multiple probability distributions and their uses
Restate the introduction to the Gaussian Copula
Restate the introduction to linear algebra
Summarize moment matching
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