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location Vienna, Austria
age 33
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Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


2d
comment Portfolio VaR with Copula?
I have posted a similar question here: quant.stackexchange.com/questions/7077/… Appearantly copulas and sums don't go together well ;)
Nov
21
comment What are the dynamics of the reverse of this FX process?
Nice solution! I also think that it is important that it is GBM, which is a positive process. With BM we could run into serious problems at zero.
Nov
20
comment What are the dynamics of the reverse of this FX process?
Plese write down your model for $FX$ - then on can look at $1/FX$.
Nov
20
comment PCA on term structure of interest rates
Are the increments of your time series non-stationary? It is similar to a random walk. If you have white noise $X_i$ then $S_n = \sum_{i=1}^n X_i$ is non-stationary but $X_i$ is.
Nov
18
comment Relation between IV and SD
I only mean high values for IV ... I don't have experience with the risk-neutral density derived from option prices and its variance (quite abstract ;))
Nov
18
comment Relation between IV and SD
I understand now as you edited the question - but I can not really answer this.
Nov
18
comment Relation between IV and SD
I have added a paragraph in my answer.
Nov
17
comment Why are interest rates and stock prices positively correlated?
No, if rates increase then prices for loans decrease (!). In the government bond market interest rates are vehicles that make traded prices match discounted cash flows. In the money-market world you can directly observe the artes.
Nov
12
comment Which is the better risk sensitive measure?
What is $\theta$? A probability measure? If so, from which set of measures? $Var$ is variance or value-at-risk? Where do you take these definitions from?
Nov
7
comment I want to Derive $P(t)=P(t,T_{n})+\sum_{i=1}^{n}[P(t,T_{i-1})-P(t,T_{i})]$
You should go more into detail. What the difference between $P$ and $p$? $p$ does not appear in the formula. I assume $P$ are the prices of zero-coupon bonds?
Nov
6
comment Why is OU process stationary?
There is weak stationarity too ... then you only consider the first 2 moments.
Oct
29
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.