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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 7 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Mar
31
comment Understanding the derivation of a ML-estimator
I could imagine that this fits better to stats.stackexchange
Mar
27
revised Does risk-neutral measure have anything to deal with risk-neutrality in utility theory?
edited title
Mar
25
revised Geometric Brownian motion - Volatility Interpretation (in the drift term)
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Mar
24
answered Geometric Brownian motion - Volatility Interpretation (in the drift term)
Mar
24
comment Geometric Brownian motion - Volatility Interpretation (in the drift term)
You meab $\exp(E[W_t]) \le E[\exp(W_t)]$ - right?
Mar
22
awarded  Popular Question
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
In the two plots what is the standard deviation (sd) of the first random variable (is it $1$?) and what in the second? The axes and the sd should fit together. Or you use histograms.
Mar
13
comment Normally Distributed Returns Become Leptokurtic Due to Compounding
@jessica if $r$ is normally distributed with mean $0$ and variance $\sigma$ then $1+r$ is normally distributed with mean $1$ and variance $\sigma$. The distribution of $\prod_{i=1}^n (1+r_i)$ is not normal. If you look at log-returns then you can just sum up for accumulation over time. Then you stay in the log-return world.
Mar
13
comment Ex-Ante tracking error how to determine the look back period
What would make sense is to estimte TE ex-ante and then look at future active return. Similar to VaR back-testing.
Mar
13
comment Ex-Ante tracking error how to determine the look back period
Hi, do you want to compare ex-ante TE to ex-post TE? It depends on the purpose but this does not make too much sense too me. If you don't have a lot of trading then the numbers will be very close if you put in the same data, if you have a lot of trading then they will differ a lot.
Mar
13
answered Normally Distributed Returns Become Leptokurtic Due to Compounding
Mar
12
answered Sharpe Ratio and time spent in loss
Mar
7
answered Wiener process proof
Mar
5
comment How to backtest the VaR model?
An answer for a full Var model is another question, it depends on the asset class (bonds, equity, multi assets, HF). Post a question and you will get some references.
Mar
5
revised How to backtest the VaR model?
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Mar
5
answered How to backtest the VaR model?
Mar
4
comment Can the duration of a bond be greater than Time to Maturity
Please tell us the exact example of this non-vanilla bond. Perpetual callable bonds for example get a "fake" maturity date on Bloomberg (something like 2045). Depending on the call schedule I can imagine that (effective) duration can be greater than this maturity.
Mar
3
comment Explanation or implementation of Ledoit-Wolf estimator (without math packages)
This is a very interesting question and very helpful that you provide code. Would you like to provide pseudo-code or something similar just to show the steps that your algorithm does? This would be somewhat clearer.
Mar
3
revised Given monthly returns of 10-Year Govt Bond, how to get monthly risk free rate of return
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Feb
28
comment Sharpe Ratio, annualized monthly returns vs annual returns vs annual rolling returns?
I absolutely agree with @John : if you do not know $100\%$ what the interpretation is then don't do statistics on rolling returns. Furthermore: yes, use monthly or weekly returns. John, would you post this as answer - just to have this one answered.