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| bio | website | researchgate.net/profile/… |
|---|---|---|
| location | Vienna | |
| age | 31 | |
| visits | member for | 11 months |
| seen | May 14 at 7:53 | |
| stats | profile views | 128 |
Risk Manager at Raiffeisen Capital Management
External Lecturer at Vienna University of Technology
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Feb 7 |
accepted | Liquidity in a market risk model based on historical simulation |
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Feb 7 |
awarded | Promoter |
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Feb 7 |
awarded | Autobiographer |
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Feb 7 |
awarded | Citizen Patrol |
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Feb 7 |
accepted | Quantitative risk model for an open real estate mutual fund in Europe |
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Feb 6 |
comment |
Multiple (linear) regression We only speak about the last price - this is misleading. If the model fits the whole process well, then the model is ok, no matter what it is relative to the last price - this is just one price of many. If the model is good and we can forecast the covariates then a trade could be based on it. |
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Feb 6 |
comment |
time in time series database - UTC or local I agree here - I used local time (besides UTC) for exactly these reasons (day light saving time especially). |
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Feb 5 |
answered | Intangible assets as underlying for Futures contracts |
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Feb 5 |
comment |
How to simulate one-minute bars data from one-day bars? @Quartz Yes ... you are right ... I missed the scaling ... one would have to do something more advanced - sorry for my mistake. |
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Feb 4 |
comment |
How to simulate one-minute bars data from one-day bars? @Quartz: Brownian bridge does preserve start and end - thus open and close. Brownian bridge is a Brownian process conditional on fixed start and end. Check out en.wikipedia.org/wiki/Brownian_bridge and of course one has to ad adapt this setting slightly. |
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Feb 4 |
comment |
Quantitative risk model for an open real estate mutual fund in Europe Thank you for finding those references! This is already some reading material. Let's see whether new ideas come in - if not I would accept your nice answer. |
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Feb 4 |
comment |
Quantitative risk model for an open real estate mutual fund in Europe Thanks for your answer. I am aware of the auto-correlation. This is often reported in the general setting of alternative investments (where one looks e.g. at private equity, Hedge Funds and Real estate) too. I am aware that the field is large and extremely subtle but I hope that some remarks as yours come in. Any references for further investigations would be appreciated. |
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Feb 4 |
asked | Quantitative risk model for an open real estate mutual fund in Europe |
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Feb 4 |
comment |
What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean? Hi, for yield curve and forward rate analysis I recommend Overview of Forward Rates by Antti Ilmanen. Which forward rates to use? Why not all? $f(1,i), i = 2,\ldots,5$, $f(2,i), i = 3,\ldots,5$ and so on. From the construction of the forward rates the result can be guessed. E.g. $f(1,2) \approx 2 R_2 - R_1$ (approximately) so I guess the level factor will be present (due to the $2$) and the steepeining/flattening loading should be similar to $R1$ and $R_2$ but please do t he analysis and share the results. |
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Feb 4 |
revised |
What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean? typos |
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Feb 3 |
revised |
What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean? edited body |
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Feb 3 |
answered | What do eigenvalues/eigenvectors of the yield/forward rates covariance matrices mean? |
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Feb 1 |
comment |
Pricing in HJM framework @ChristianFries Thank you for your answer with further insights. |
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Feb 1 |
revised |
Pricing in HJM framework a typo |
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Feb 1 |
comment |
What to do with linear regression or regression splines outside of the training range? @bill_080 Thanks for the link, I had a quick look and I will go through it in detail soon. |
