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  • 16 votes cast
Apr
1
answered Semi-variance/Downside Risk, what about the rest of the covariance matrix?
Apr
1
comment Please give a step-by-step explanation on how to build a factor model
Seems like marketing material to me. Have you read it?
Apr
1
answered Please give a step-by-step explanation on how to build a factor model
Mar
24
answered The use of GARCH
Mar
24
revised What is the fair price of this option?
added 2 characters in body
Mar
24
revised What is the fair price of this option?
deleted 2 characters in body
Mar
24
answered What is the fair price of this option?
Mar
22
comment Expected Shortfall and Spectral Risk Measure
I don't understand why you have the word spectral risk measure in the title ?
Mar
22
answered Why is the LIBOR-market model free of arbitrage?
Mar
22
awarded  Curious
Mar
21
answered Why the Black-Scholes formula can be used in the real world?
Mar
20
asked modeling regime switching for Correlation matrix
Jan
18
comment Parametric/Analytical VaR
This is fine for t but not skew-t where location is not the same as mean
Jan
17
awarded  Promoter
Jan
6
comment Parametric/Analytical VaR
For a student-t distribution, Modified VaR is different from Gaussian VaR which is different from VaR using quantile from a t-distribution. Modified VaR only uses quantiles from a normal distribution but the other 2 cases are different
Jan
6
comment Parametric/Analytical VaR
The question is about parametric estimation and not non-parametric estimation. Fitting parameters is not a concern. Understanding theoretical behavior is what I am trying to undersatnd
Jan
6
comment Parametric/Analytical VaR
The challenge is to understand the context for non-normal distributions. Each estimate of VaR that I have suggested is valid.
Jan
6
awarded  Critic
Jan
6
asked Parametric/Analytical VaR
Dec
19
comment comparing modified VaR to ordinary VaR
The intuition is missing. I understand the use of cornish fisher expansion to the quantiles to include skewness and kurtosis but what inferences can be made but just looking at the numbers