# All Questions

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### Murex and Calypso framework

I have been working on Murex and Calypso trading system for several years , front to back , I am facing a lot of question kind of : which software is better ? I can confirm to anyone interested in ...
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### Fund Separation Theorem for Performance Seeking Portfolio

Can someone explain this statement? "The beauty of the fund separation theorem is that the performance seeking portfolio mandate is the same for all investors"
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### Price compounding: Swap versus Governments Bonds

There are different rates curve to compound prices. Since the crisis, regulators tends to favor price compounding with swap curves over IR curves deduced from governments bonds (EU regulators, french ...
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### Why use Moody's KMV EDF for one year

If I were to use Moody's KMV proprietary database with expected default frequqncies(EDF) for sectors and countries, along with aggregations for financials and non-financials, significant banks etc: ...
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### Multi-factor APT model in practice: non-zero mean factors, observations needed and portfolios

I'm going to build a multi-factor APT model for the Swiss market starting from the work made by Chen, Roll and Ross (to which I will add and test some additional factors). I have some doubts though: ...
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### What are appropriate algorithms for forecasting contract schedules to maximize profit?

Imagine a situation where a business negotiates contracts for the maintenance of widgets it sells. Situation Customer buys 20 widgets. Customer negotiates contract for widgets to be serviced/...
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### How to calculate the unrealised profit on sinkable bond

How is calculate the unrealised profit on Sinkable Bond when 50% of the bond value already been paid? Is the following method correct: Unrealised P&L = ((Current.Position * Market.Price) - Cost....
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### Marchenko–Pastur, Student distribution and returns

I have a question regarding random matrix theory. I've been studying various papers and I found some confusing definitions of Marchenko-Pastur law. The most clear was the one on wiki: wiki-Pastur-...
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### Valuation Models for Bank Credit Default

What approaches exist for calculating a fair price for a credit default swap for a bank? Most of the traditional valuation models are geared towards industrial firms. Are there any theoretical ...
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### How to schedule a sequence number reset in QuickFIX?

What is the recommended way to handle scheduled sequence number resets (initiated by the counterparty once per day) ?
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### Cross-sectional Regression: Using calculated coefficient of first regression for a second regression as dependent variable

Hello stackexchange community! I am new to R and econometrics and and stuck in a step of the fama-macbeth (1973) regression, in which risk premia of stocks are estimated with a two-step regression ...

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