Back to directoryResource
OpenGamma Strata
Github Repo
by OpenGamma
Tags
derivatives pricingfinancial analyticsfixed incomejavamarket risk
Continue on SelfMadeQuant
Build the foundations
Suggested foundations for risk measurement and stress and rates and fixed income. Specialist prerequisites vary by resource.
Before you read
- Random Variables and Distributions
Represent losses as a distribution rather than one forecast.
- Expected Shortfall and Other Tail Risk Measures
Distinguish a loss quantile from the average loss in the tail.
- The Bank Account, Short Rate, and the Fundamental Pricing Equation
Understand discounting in a stochastic-rate model.
- DV01, Dollar Duration, and One-Factor Price Sensitivity
Translate yield movements into first-order price risk.
Go further
- VaR Estimation in Practice: Variance-Covariance, Historical Simulation, Monte Carlo
Compare risk estimators and their assumptions.
- Backtesting VaR and ES: Coverage Tests and Model Validation
Check forecasts against realised losses.
- Bootstrapping the Spot Curve from Market Instruments
Build a consistent discount curve.
Explore a related reading path
- Portfolio construction and risk
Connect diversification, common risk factors, investor views, and the properties of a risk measure.