meta user
network profile
| bio | website | |
|---|---|---|
| location | Vienna, Austria | |
| age | ||
| visits | member for | 9 months |
| seen | yesterday | |
| stats | profile views | 45 |
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Feb 6 |
awarded | Custodian |
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Feb 6 |
reviewed | Satisfactory Why might a manager consider using an interest-rate in which the notional principal amount declines over time? |
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Feb 6 |
reviewed | Satisfactory How to attribute income that incurs a double liability in a P&L? |
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Jan 16 |
comment |
Comparison of Brownian Motion Expected Drawdown and simulated results @ManInMoon I edited my post |
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Jan 16 |
revised |
Comparison of Brownian Motion Expected Drawdown and simulated results added explanation about comparison |
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Jan 15 |
answered | Comparison of Brownian Motion Expected Drawdown and simulated results |
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Jan 9 |
revised |
What is the “leverage effect” for stocks? fixed messed up formatting due to $ sign |
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Jan 7 |
comment |
Yield of a risky bond @Freddy I edited my answer according to your suggestion and hope you can agree with me now. Still, in my opinion, yield-to-maturity is not directly risk related but yield spread is. Nevertheless, I think we are all talking about the same things here. |
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Jan 7 |
revised |
Yield of a risky bond added 22 characters in body |
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Jan 7 |
comment |
Yield of a risky bond I am sorry but I disagree on the point where you say simple-to-calculate risk premia. For most corporate bonds for example you have to work hard to separate default risk from other risk factors. Further more, you don't arrive at a "probability measure" but rather at a yield spread as I stated in my answer. The probability of default still remains unclear. You still have to model the default probability for a given yield spread. |
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Jan 7 |
comment |
Yield of a risky bond @Freddy thats precisely what I said in the second statement about the yield spread. There is no point we disagree on. The textbook way to calculate a yield just depends on the price and the coupons though. Of course the default risk has impact on the price, thus on the yield-to-maturity. |
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Jan 4 |
answered | Yield of a risky bond |
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Dec 28 |
awarded | Analytical |
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Dec 27 |
comment |
How to detect regime change when estimating asset correlation from historical time series? @strimp099 Are there any resources in these search results you find particularly instructive and interesting? Introductions, surveys, papers, books? |
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Dec 27 |
revised |
Hidden Markov Model & Its Application edited tags |
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Dec 27 |
comment |
Most natural generalization of covariance/correlation to model dependence of extreme events @vonjd Its the definition of covariance: en.wikipedia.org/wiki/Covariance#Definition |
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Dec 27 |
comment |
How to reactivate a risk mangement rule in an automated process I think the question was pointing into a different direction. The rules to close the positions are there but when to open them again? I guess this is a very general question (and old) question. To my mind, almost any rule will do - but you should have one. If one has a rule which tells when to close a position one should also have a rule which tells when to open one. Examples of the latter rules where the question here. |
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Dec 21 |
comment |
Most natural generalization of covariance/correlation to model dependence of extreme events Strictly speaking, there are no assumptions of linearity or normality in the notions of covariance and correlation. The only assumptions needed are: two random variables with finite second moments. |
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Dec 20 |
comment |
What are the best Journals & Conferences in Quantitative Finance? @montyhall is there a difference to arxiv.org? |
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Dec 19 |
comment |
How to cluster ETFs to reduce cardinality for portfolio selection I wanted to add one thing here: Elimination of highly correlated assets reduces the condition number of the variance-covariance matrix thus giving you more stable results. At one point in the optimization procedure you have to invert this matrix somehow. So elimination of correlated products is also sensible from a numerical point of view |
