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visits member for 2 years, 4 months
seen Nov 19 at 2:12

Sep
25
answered Can Beneish's model for detecting earnings manipulation be applied to companies in the UK?
Jul
31
comment How do you handle order tracking (without unique Lot ID's)
I like suggestion 1 if the only info you get is what you provided. Salting the hash will take care of duplicate hashes(if possible)
Jul
26
awarded  Yearling
Jul
23
comment Valuation of a Sinking Bond Fund
@jessica I initially read your question as though you already knew how to price the bond, my mistake. Added some more info on pricing.
Jul
23
revised Valuation of a Sinking Bond Fund
added 375 characters in body
Jul
19
answered Valuation of a Sinking Bond Fund
Jul
18
comment Recovery rate in a structured bond
These are all details you should have included in the initial post, I think I finally have an idea of what your question is - I'll do my best to answer after I get some work out of the way.
Jul
17
comment Recovery rate in a structured bond
Is there any particular reason you want to model the recovery rate? I think you're getting offtrack by trying to apply "standard" recovery rates, not to mention it's a very poor way to estimate a cash flow imo. My advice would be to forget about estimating a recovery rate and instead go after what you really want - estimating the cash flow and then arriving at the recovery rate. Is your dataset precluding you from doing it this way?
Jul
16
comment Recovery rate in a structured bond
I'm not sure what you're getting at with the first bullet - in the solvency case the coupon + principal is paid, in the default scenario only the recovery is paid. How are you getting a higher payoff from the default? Also, "structured bond" is quite ambiguous, could you elaborate more on the class of bond you're trying to model?
Jul
8
comment How can you convert the CUSIP of a bond issue to the CUSIP of the company's stock/
As is this question is misleading. What you're asking for is either a mapping(which I wouldn't expect to match your portfolio in the unlikely case someone hands their mapping over) or someone to give you the program they wrote - I don't either happening(for free) given the nature of this industry.
Jun
19
comment Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
Cycles, Elliot Wave principle, etc. In my opinion it's a dumb idea since regimes, the actual market participants, technology, etc. are so vastly different you'll never have the same "window" twice.
Jun
3
comment FRA-Strategy: Make 3-month and 1-year Excess returns comparable
I don't think you can make them truly comparable. You could annualize the returns, but this would hardly be comparing apples to apples since you would be assuming a yield curve with identical characteristics and rates existing at times they obviously didn't. Not to mention you would be assuming multiple curves existed simultaneously on the same underlying using this method to compare a 3x6 to a 6x9.
May
31
comment Central Index Key (CIK) of all traded stocks
There isn't one I'm aware of. Mappings require legwork and most who have built one aren't always readily willing to share it, especially for a universe this large.
May
30
comment Portfolio software that shows 'total return' for each investment
Can you pull adjusted close? That would give you a total return between dates.
May
30
comment Portfolio software that shows 'total return' for each investment
Maybe I'm missing something but what is stopping you from calculating Total Return on your own through the spreadsheet or adding it as a function to the site?
May
28
answered Central Index Key (CIK) of all traded stocks
May
24
answered How is the dividend payment calculated when an asset is disposed on the ex date?
May
21
comment VaR for portfolio of funds
I would think #2 because #1 would contain correlations don't necessarily exist.
May
9
comment When calculating CIP between EU and US, which interest rates data to use?
Agree with the German bills, considering they largely control policy on the Euro.
Apr
29
awarded  Custodian