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bio website researchgate.net/profile/…
location Vienna, Austria
age 32
visits member for 1 year, 10 months
seen 17 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


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.
Feb
21
comment why is the BNS model the way it is
In case you want to do Monte Carlo - I would work with $V$ in simulations and just plug in $\sqrt{V}$ for the simulation of $X$ - no Ito needed.
Feb
21
comment why is the BNS model the way it is
Of course the first derivative of a square-root is proportional to $1/\sqrt(...)$. But which application of Ito do you mean - an application to $f(X_t)$ or $f(V_t)$ for some $C2$ function $f$?
Feb
21
revised why is the BNS model the way it is
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Feb
21
comment why is the BNS model the way it is
Just a typo - of course it does not habe mr.
Feb
21
answered why is the BNS model the way it is
Feb
20
comment why is the BNS model the way it is
Could you please post a link to a free paper where BNS is defined. A paper where we can find your equation.