Building Permists

The mean-variance is the wrong starting point in fixed income portfolio construction. The problem is better formulated as, in essence, a linear programming problem. Maximize expected return subject to constraints and risk being less than some prescribed limit. What are the constraints? In fixed income, we want to look at: high-level constraints such as CS01 (sensitivity to 1bp move in spreads) and CSW10 (sensitivity to 10% relative increase in spreads). Also interest rate duration (IR01); high-level constraints specifying losses in certain stress scenarios, either rates or credit or both; sector-level constraints; credit-level constraints; tax-level constraints; and maturities. And with constraints and risk limits taken care of, we can focus on getting the buy or sell decision in single names correct.

Technical Case Assignment

Employee Attrition Prediction using R language.

2024-03-05

2024-02-26

movies plotting

2024-02-13