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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 9 months |
| seen | 2 days ago | |
| stats | profile views | 37 |
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Dec 26 |
suggested | suggested edit on Hidden Markov Model & Its Application |
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Dec 25 |
comment |
How to attribute income that incurs a double liability in a P&L? A contra account offsets another account. Following from my accounts receivable example: accounts receivable(assets) usually has a debit balance that is offset by a credit to another account for accounts unlikely to pay - this reduces the chance of overstating assets/income by estimating what the "net realizable value" of the account is. This is called the "allowance" method and this article sums it up quite nicely. |
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Dec 24 |
comment |
How to attribute income that incurs a double liability in a P&L? Not really a quant question but I'll take a stab. |
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Dec 24 |
answered | How to attribute income that incurs a double liability in a P&L? |
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Dec 21 |
comment |
What is the best method to compute project volatility in Real Option Valuation? Weird - still doesn't work for me. In any case, thanks for the info. |
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Dec 21 |
comment |
What is the best method to compute project volatility in Real Option Valuation? Do you happen to have a title/link of the first paper? The link is dead. |
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Dec 13 |
comment |
Applying interest rate shocks under Solvency II I think you need to provide more info on which instruments in particular you're interested in. |
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Dec 13 |
comment |
Cloning Return Streams If you're suggesting not being restricted by a style, then yes it would be very easy to weight/select a portfolio to match any number. I'm not sure what forward thinking solutions doing that could possibly bring however. |
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Dec 13 |
comment |
Calculating pre-tax cost of debt @SRKX Exactly what ran through my head when I read it - that's why I included the accounting bit. |
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Dec 11 |
comment |
How credible is Knight pointing the finger at Rule 107C? @use508 I have to agree - marking the answer with the most evidence as correct. |
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Dec 11 |
accepted | How credible is Knight pointing the finger at Rule 107C? |
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Dec 8 |
comment |
Calculating pre-tax cost of debt @CooperRoyce Unless I misunderstood the question, yes. |
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Dec 7 |
comment |
Do bond credit ratings suffer from “ratings inflation”? The agencies typically won't go back and change ratings after they've been issued without good reason, so the "round-robin" inflation effect you suggested doesn't really exist. This is because the investment banks are trying to get it to market asap and continual delays cause major damage to the agencies. Last year when S&P re-rated and eventually refused to rate a Goldman Sachs CMBS deal, they were shut out of the market for almost an entire year. |
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Dec 7 |
answered | Calculating pre-tax cost of debt |
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Oct 28 |
awarded | Critic |
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Oct 16 |
answered | Multi Factor Credit Risk Models |
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Oct 15 |
comment |
Multi Factor Credit Risk Models Not sure if I missed it, but you never mentioned what asset you're interested in. Credit risk for a car, a house, a mall, a corporation, a country, etc. are very different animals. |
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Oct 15 |
comment |
Major FX pairs - Pentahedron Data Structure Very interesting...How would you maintain equilateral triangles to adjust the change in price(assuming you made right triangles to utilize Pythagoras, I could be way off base) - How do you keep normalizing the edges as the currencies move? From your explanation I'm visualizing a structure that could theoretically begin as a pentahedron but begins to collapse as soon as prices begin to move. |
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Oct 9 |
comment |
How do I model risks for specific short-term short calls in a portfolio with limited data? They're not measured very well - if at all. "Extreme risks" are typically rare risks as well, unlikely to be captured even by large data sets. |
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Oct 8 |
answered | Analyzing tick data |
