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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 6 months
seen 1 hour ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Dec
2
accepted Stability of correlations and volatility
Dec
2
accepted Risk and Reward in practice
Dec
2
accepted Non-negative matrix factorization for factor analysis of stocks
Dec
2
accepted How to distinguish total return and absolute return funds in the KIID
Dec
2
accepted Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Sep
1
accepted Estimate correlation of time series whose histories differ in length
Jun
20
accepted Controling ex-post volatility by ex-ante limits
Jun
11
accepted Documentation of the ISDA CDS standard model
Feb
20
accepted Korean Bond futures market: is there a fundamental difference between 3yrs, 5yrs and 10yrs contracts?
Dec
7
accepted Min VaR and Min TE as second order cone program
Sep
20
accepted Average correlation of index/portfolio
Mar
6
accepted Fair swap rate of an amortizing swap
Feb
27
accepted Applications of Fourier theory in trading
Feb
14
accepted Copula models and the distribution of the sum of random variables without Monte Carlo
Feb
7
accepted Discrete returns versus log returns of assets
Feb
7
accepted Implied Volatility for Asian option
Feb
7
accepted How to Delta Hedge with Futures?
Feb
7
accepted Liquidity in a market risk model based on historical simulation
Feb
7
accepted Quantitative risk model for an open real estate mutual fund in Europe
Sep
24
accepted Modelling VIX Futures for risk management