3,390 reputation
827
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 4 months
seen 17 hours ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


2d
comment How to express the Black Derman & Toy Model in a $dr=A\,dt+B\, dW$ form?
No, because $\exp(x)' = \exp(x)$.
Oct
21
comment Expected Shortfall and Spectral Risk Measure
Yes, I agree about the first one ... sorry.
Oct
21
comment Expected Shortfall and Spectral Risk Measure
And I think in your setting the upper bound of the integral should be $-VaR$ and in the first integral also $-VaR$ or the quantile directly.
Oct
21
comment Expected Shortfall and Spectral Risk Measure
Good answer but are you sure abou the denominator in the second integral?
Oct
21
comment Expected Shortfall and Spectral Risk Measure
Please add a reference to a paper or a web page with formulas. The question is unclear to me.
Oct
17
comment What is a good Computer Algebra System for financial engineering?
mathematica can do symbolic algebra and a integration (it know a lot of special functions (Bessel and this kind). And you can do numerics too. So this could be a place to start.
Oct
16
comment What is a good Computer Algebra System for financial engineering?
The OP asked for computer algebra (although I always wonder why people would use such systems for these things) and as far as I know mathematica together with UNRISK (not without it) is the only such combination. You need to use unrisk then adapted integration for various derivatives and models is implemented. I know they even have IL derivatives there ...
Oct
13
comment Distribution of the value of a portfolio
You more or less wrote down the definition of the Chi-squared distribution ... a weird example of a stock-market .. right? But thinking about variance (squared returns) it makes sense..
Oct
9
comment Why can sometimes stock prices rise when interest rates rise?
The risk free drift has nothing to do with the real world drift. It just means that forwards are priced with the risk-free rate.
Oct
9
comment Why are interest rates and stock prices positively correlated?
In fact this question is nearly a duplicate of the question that @haginile points to ...
Oct
9
comment Why are interest rates and stock prices positively correlated?
@haginile No, I don't believe that the discounted cashflow model reflects reality. Mabye it gives you some fair price but you never know when (!) the asset will trade at this fair price. It is not a binding law and as you say the parameters are uncertain. Your answer for the other question is good (+1), the correlation aspect is important. One could think that the correlation between stocks and bonds is fixed (negative) , which is not true as you point out.
Oct
9
comment seasonality and generalized additive model
I don't mind having it here, but in my experience the OP gets better and quicker answers about GAM over there at SSE.
Oct
8
comment seasonality and generalized additive model
Should be migrated to stats.stackexchange.com
Oct
7
comment CAPM (SML) Problem
You should use Tex and make the formulas more clear.
Oct
3
comment Portfolio Turnover Constraint
Just a small addon: some optimizes like to handle positive linear constraints best. Then it is one way to introduce additional variables $b_i \ge 0$ and $s_i \ge 0$ for weights bought, weights sold all positive. Then new weights are $w_i = p_i + b_i - s_i$ which can be formulated as constraint. And finally $\sum_{i=1}^n b_i + s_i \le 0.1$. One has to take extra care for new instruments and those who leaver the universe.
Oct
1
comment What's the intuition behind DTS(duration times spread) in fixed income?
I would say that usual Duration has some analogy to beta but spread duration not. While the former relates to the yield curve of one market, the latter corresponds to specific spreads. The latter could rather be compared to unsystemic risk in one factor equity risk models.
Oct
1
comment Efficient Frontier Derivation: why minimize half the portfolio variance instead of just the variance?
Clear answer - there is nothing more to it.
Sep
30
comment What's the intuition behind DTS(duration times spread) in fixed income?
Could you shortly describe the definition of DTS that you have found?
Sep
30
comment optimisation problem with linear constraint
I though that maybe there is a way to keep the $B_l \le A \le b_u$ formulation. But please forget it for now. It is quite usualy to formulate the constraint as $A x \le b_u$. This is fully general as you can always multiply rows and rhs by (-1).
Sep
30
comment optimisation problem with linear constraint
It is quite some time ago that I used Matlab. But it should work that you only define b_u and leave b_l empty. Or you use a formulation where you still stack to rows together for A but keep a b_l. Give it a try and tell us.