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bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 5 months
seen 11 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Jul
22
comment Historic Value at Risk - Ratios vs. Differences
You might find the paper Neither 'Normal' nor 'Lognormal': Modeling Interest Rates Across All Regimes interesting.
Jul
22
comment Historic Value at Risk - Ratios vs. Differences
I don't really know one single book where historical simulation is explained in detail. I have seen the above approach being applied successfully in practice. Meucci wrote the book "Risk and Asset Allocation" published at Springer. A lot of ressources can also be found at his web page symmys.com. I hope that helps.
Jul
21
answered Historic Value at Risk - Ratios vs. Differences
Jul
18
comment How does Vega of a call/put behave under the Black-Scholes model?
@Lost1 I mean that depending on the constellation of $\log(S/K)$ and $r-q$ which determines the sign we get either $+\infty$ or $-\infty$. But as $d_1$ is squared the sign does not matter.
Jul
16
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
$E[e^{W_t}] = \exp(t^2/2)$.
Jul
16
comment How to compute $\mathbb{E} \left[ (W_s + W_t - 2W_0)^2 \right]$?
$W_t$ is Gaussian - right? Then $E[e^{W_t}]$ is just the moment generating function of a Gaussian random variable with variance $t$ evaluated at $1$. So your formula is wrong.
Jul
14
revised Option based portfolio insurance in practice
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Jul
14
comment Option based portfolio insurance in practice
Thanks for the answer. It answers parts of my question. I will edit the question with some more precise info.
Jul
14
comment Option based portfolio insurance in practice
I am asking about the investment bank that offers the guarantee. I would like to know how this is usually done (the offer) and how this is hedged in the bank's trading room. I have a specific case in mind and I would like to compare what they do to how "it is usually done". Thanks!
Jul
14
answered How to get permanently growing chart within PCA
Jul
14
comment How to get permanently growing chart within PCA
@Imorin what are the approximations in the article?
Jul
11
comment Getting the next price of a GBM (Geometric Brownian Motion)
There $250$ is fine.
Jul
10
comment Correlation of asset to portfolio, given certain variables
Happy to hear this, maybe you would like to accept my answer?
Jul
10
comment How to see the impact of one variable on a set of other variables?
The answer of g g below is much better than my comment, but have you ever heard of regression analysis? This is obviously not the best approach and much better ones exist, but as a start?
Jul
10
comment Correlation of asset to portfolio, given certain variables
VAR is variance in this context.
Jul
10
comment Correlation of asset to portfolio, given certain variables
@emcor this is wrong, I don't assume this. I use the linearity of covariance which is correct. See the proof.
Jul
10
comment Correlation of asset to portfolio, given certain variables
No guys. I use the whole covariance matrix. Nowhere I assume anything about its shape. Read the paper or text books about risk contributions to volatility or the Euler allocation principle.
Jul
10
revised Correlation of asset to portfolio, given certain variables
added 87 characters in body
Jul
10
awarded  Inquisitive
Jul
9
answered Correlation of asset to portfolio, given certain variables