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Mar
1
comment Modelling callable bonds in a risk model (historical simulation)
Callable bond requires term structure simulation, maybe a tree pricer. Tree is calibrated to market instruments as best as you can. The risk neutral concept is based on bunch of assumptions- no need to get here-, but at least puts pricing in a framework where many people agree on...
Feb
29
comment Non-parametric estimator - CVAR / Expected shortfall
what is R.V.? What do you mean by consistent estimator for Expected Shortfall? As if sounds like most CVAR estimators are not consistent??
Feb
29
comment Vol surface changes as underlying moves
Shocks are bit too much to keep the vols same. I am assuming you are building a short horizon model, if stock price moves down by 30%, vols should go crazy. Why not look into some other models, such as Heston or SABR? Or build an empirical vol stock price model based on extreme moves in the past, which would be my first choice to try
Feb
26
comment Modelling callable bonds in a risk model (historical simulation)
There are two things here. HS requires risk factor simulation, then you need to price the callable bond at each scenario of HS. Pricing is risk neutral
Feb
25
comment Want to understand the links and relationship between all the risk metrics?
very complicated question, RWA is influenced by credit/market/operational risk, etc.
Feb
25
comment credit risk - How to calculate the probability of default (private companies)?
Most of the time logistic regression is used to estimate PD
Feb
25
answered Modelling callable bonds in a risk model (historical simulation)
Feb
11
revised Standardized and Advanced IRB together
edited tags
Feb
11
comment CDS spread scenarios from historical market data
Your 750 is completely arbitrary :) Banks prefer using recent data for VaR, thus it is based on latest 252 days. Stressed VaR will use 252 days of a stressed period. 10 day returns are the standard. There are 1000s of factors in a typical VaR portfolio, usually if one factor is regime switching its affects will be ignored.
Feb
11
awarded  Yearling
Feb
11
comment Extracting IB market data: bid and ask for greeks and IV
If there is low interest or volume, they should not be used to build curve
Feb
10
comment Extracting IB market data: bid and ask for greeks and IV
Why do you think IV cannot be larger than 1? Volume of trades, and open interest is available in yahoo; but open interest is not divided by bids and asks. You need active trade data which will give you number of bids/ask at different bid/ask levels and order counts
Feb
10
comment CDS spread scenarios from historical market data
Please give reference of the regulation which requires for Market Risk VaR more than 252 data points
Feb
10
answered CDS spread scenarios from historical market data
Feb
10
asked Standardized and Advanced IRB together
Feb
10
answered Extracting IB market data: bid and ask for greeks and IV
Jun
24
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11
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24
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12
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