500+ quant interview questions for Jane Street, Citadel, Two Sigma, DE Shaw, and other top quantitative finance firms.
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Difficulty: Medium
Category: risk_management
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Topics: ewma, covariance_matrix, risk_management, volatility
The Exponentially Weighted Moving Average (EWMA) covariance matrix is a critical tool in real-time risk management for quantitative finance. It assigns greater weight to recent observations, allowing risk models to adapt quickly to changing market volatility. This method provides a more responsive measure of asset co-movement compared to a simple rolling-window covariance. Task Implement the function ewma_covariance_matrix(returns: list, lam: float) to compute the EWMA covariance matrix. Given
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