Research Methods
Risk & Sizing
Inspect volatility estimates, target exposures, caps and the cash demands of futures positions.
Risk & Sizing
Risk & Sizing
Risk & Sizing
Risk & Sizing
Risk & Sizing
Volatility Estimation Windows: What the Number Remembers
Understand sampling, window length, annualisation, missing observations and the uncertainty behind a volatility estimate.
Volatility Targeting and Caps: From a Target to a Bounded Exposure
A worked explanation of inverse-volatility sizing, exposure caps, floors, rounding and the limits of a volatility target.
Margin Is Not a Risk Budget
Distinguish initial and maintenance margin from exposure, potential loss and the cash required to keep an account funded.
Correlation and Risk Concentration: Count Exposures, Not Labels
Use covariance, position direction and stress assumptions to distinguish many positions from genuinely different risks.
Cash, Collateral and Liquidity: Funding the Next Obligation
Separate asset value, collateral credit and immediately transferable cash with a worked funding waterfall.