3,645 reputation
929
bio website researchgate.net/profile/…
location Vienna, Austria
age 33
visits member for 2 years, 6 months
seen 2 days ago

Risk Manager at an Asset Management Company

External Lecturer at Vienna University of Technology


Dec
16
revised How does Reuters quote caps?
added 804 characters in body
Dec
16
revised How does Reuters quote caps?
deleted 2 characters in body; edited title
Dec
10
revised Find the order of an ARMA model (q & p )
added 2 characters in body
Dec
9
revised How to annualise the volatility of non-iid returns?
I added the word "volatility"
Dec
9
revised What do I need to do with my data before fitting the ARIMA model?
edited tags
Dec
4
revised How to extrapolate VaR?
deleted 1 character in body
Dec
1
revised Is an arbitrary prior for Black-Litterman valid? Or do we need a market implied one?
Changed link
Nov
18
revised Relation between IV and SD
added 343 characters in body
Nov
18
revised Does the correlation of matrices have explanatory power when building a pattern recognition model?
edited title
Oct
13
revised Is there anyone still using Markowitz modern portfolio theory?
edited title
Oct
13
revised Is there anyone still using Markowitz modern portfolio theory?
added 3 characters in body
Oct
3
revised Calibrating an Ornstein Uhlenbeck process on residuals of regression
added 5 characters in body
Sep
29
revised optimisation problem with linear constraint
added 535 characters in body
Sep
22
revised Approximation of different volatilities
added 431 characters in body
Sep
22
revised Approximation of different volatilities
added 416 characters in body
Sep
16
revised Hedging using relative values
edited body
Sep
15
revised Question 1.18 from Hull's Financial Risk management CAPM
added 1 character in body; edited title
Sep
8
revised Back-testing Value at Risk with a WML investment strategy
added 311 characters in body
Sep
5
revised Convergence of GBM mean after simulation?
deleted 5 characters in body
Sep
1
revised Meaning of w in SDE
typo : "Weiner" instead if "Wiener"