3,390 reputation
827
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 12 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Jun
23
answered questions on VAR manipulation
Jun
23
comment Infinite autocorrelation - Unit root?
Please clarify the titel of your question. What does "infinite" autocorrelation mean? ;)
Jun
21
awarded  Yearling
Jun
20
accepted Controling ex-post volatility by ex-ante limits
Jun
20
comment Controling ex-post volatility by ex-ante limits
@John I have done the above simulations with Gaussian returns and additionally with t-distributed retunrs in order to have fatter tails. The ex-ante limit in simulations seems to work. In the setting where I have to obey some ex-post limit .. what else could I do? I observe past variance and then ex-ante I try to control the near future. Any other idea? Thanks!
Jun
20
answered Hedging a Long Equity Swap by Shorting the Stock
Jun
18
comment Beta of FTSE100 stocks against benchmark index FTSE100
It is not true that small beta means low vol. There is still idiosyncratic risk in the stocks.
Jun
16
answered Basis Risk for Futures/Options
Jun
16
comment Short-term directional trading
I agree that this questions is not clear. I voted to close it if it is not improved.
Jun
13
answered Controling ex-post volatility by ex-ante limits
Jun
13
revised Controling ex-post volatility by ex-ante limits
added 4 characters in body
Jun
12
asked Controling ex-post volatility by ex-ante limits
Jun
12
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
Note that if $\mu_0 = \mu_1$ then you get zero autocorrelation of returns - which is often the case (look here in Rogers and Zhang (2.2)
Jun
12
comment Optimal trading strategy in toy world of simple Hidden Markov model with Gaussians
nice answer but can't we specify $p_t$ more exactly using the densities? Moreover above I would not write $E\{\dots\}$ for the distribution.
Jun
11
comment Documentation of the ISDA CDS standard model
Hi Mark (@StudenT) thanks for your answer. This is the explanation I was looking for. I epxected it to be something as the BS for CDS - just as you write.
Jun
11
accepted Documentation of the ISDA CDS standard model
Jun
11
comment Documentation of the ISDA CDS standard model
@chollida I totally disagree with you. How can you apply a software or a model if you don't know how it works? StudentT's answer below proves that this is a quant question.
Jun
10
comment Directional/Non-Directional Risk
Please, would you provide a link or some other reference. "Directional risk" can mean a lot. Is it the contect of options? Which asset class?
Jun
6
awarded  Excavator
Jun
6
revised Quadratic variation question
edited title