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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 5 months
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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


1d
comment Portfolio VaR with Copula?
I have posted a similar question here: quant.stackexchange.com/questions/7077/… Appearantly copulas and sums don't go together well ;)
1d
answered Is the volatility for these two SDEs the same
Nov
21
comment What are the dynamics of the reverse of this FX process?
Nice solution! I also think that it is important that it is GBM, which is a positive process. With BM we could run into serious problems at zero.
Nov
20
comment What are the dynamics of the reverse of this FX process?
Plese write down your model for $FX$ - then on can look at $1/FX$.
Nov
20
comment PCA on term structure of interest rates
Are the increments of your time series non-stationary? It is similar to a random walk. If you have white noise $X_i$ then $S_n = \sum_{i=1}^n X_i$ is non-stationary but $X_i$ is.
Nov
20
answered PCA on term structure of interest rates
Nov
18
comment Relation between IV and SD
I only mean high values for IV ... I don't have experience with the risk-neutral density derived from option prices and its variance (quite abstract ;))
Nov
18
comment Relation between IV and SD
I understand now as you edited the question - but I can not really answer this.
Nov
18
comment Relation between IV and SD
I have added a paragraph in my answer.
Nov
18
revised Relation between IV and SD
added 343 characters in body
Nov
18
answered Does the correlation of matrices have explanatory power when building a pattern recognition model?
Nov
18
answered finance - using CAPM
Nov
18
answered Relation between IV and SD
Nov
18
revised Does the correlation of matrices have explanatory power when building a pattern recognition model?
edited title
Nov
17
comment Why are interest rates and stock prices positively correlated?
No, if rates increase then prices for loans decrease (!). In the government bond market interest rates are vehicles that make traded prices match discounted cash flows. In the money-market world you can directly observe the artes.
Nov
12
comment Which is the better risk sensitive measure?
What is $\theta$? A probability measure? If so, from which set of measures? $Var$ is variance or value-at-risk? Where do you take these definitions from?
Nov
7
answered I want to prove Determine the coupon rate $r$, such that the price of the bond, at $T_0$, equals its face value
Nov
7
comment I want to Derive $P(t)=P(t,T_{n})+\sum_{i=1}^{n}[P(t,T_{i-1})-P(t,T_{i})]$
You should go more into detail. What the difference between $P$ and $p$? $p$ does not appear in the formula. I assume $P$ are the prices of zero-coupon bonds?
Nov
6
comment Why is OU process stationary?
There is weak stationarity too ... then you only consider the first 2 moments.
Nov
6
answered Par Yield Curves vs Zero Curves