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| bio | website | |
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| location | ||
| age | ||
| visits | member for | 10 months |
| seen | 15 hours ago | |
| stats | profile views | 39 |
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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 |
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Oct 6 |
answered | Can money technically flow in and out of stocks or asset classes? |
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Oct 1 |
comment |
Economic contagion to individual stocks (ideas for analysis) I saw a really good graph not too long ago that had scores between the largest banks/insurance agencies during the financial crisis that the Fed used to help determine contagion should one fail. It was sort of a "web graphic" - I can't remember where I saw it, but maybe someone else here saw it as well. |
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Sep 26 |
comment |
Government bonds with negative yield I'm not as familiar with European banking, but I believe that the only banks able to deposit money at the ECB are the national central banks of the member states. |
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Sep 26 |
comment |
Government bonds with negative yield Exactly. Many banks are still facing hundreds-of-millions in unsettled litigation liabilities related to mortgages, LIBOR, banking w/ un-sanctioned countries, etc. Not to mention the MF Global, Peregrine, and Knight Capital fiascoes that already occurred this year. |
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Sep 25 |
answered | Government bonds with negative yield |
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Sep 14 |
comment |
Does amortization of bond start accumulating on trade date or settlement date? You're going to have to be much more specific. Treatment depends on whether you're using IFRS or GAAP and if the bond is held for trading, for sale, or until maturity. |
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Sep 14 |
comment |
mortgage prepayment model Are you looking for commercial or residential data? |
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Aug 22 |
comment |
What statistical tools does a analyst (financial) require? "Analyst" is about as broad of a job description there is. Finance is a very niche industry and common valuation practices vary widely. As for the more widely applicable material, it will help you greatly to understand time series, future/present value, and parity theory. And that isn't even scraping the surface of the economics, accounting, and asset classes you have to know. Exactly what kind of "analyst" are you hoping to be? Furthermore, in banking it's all who you know, so you'd be better off networking than grabbing a book and praying it's relevant to the position. |
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Aug 21 |
awarded | Commentator |
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Aug 21 |
comment |
Appropriate method for calculating negative returns on a trading strategy? Are you looking for change from one point to the next or over the entire series? Geometric mean is what you're looking for if the entire series is what you're interested in. |
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Aug 14 |
answered | How credible is Knight pointing the finger at Rule 107C? |
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Aug 8 |
awarded | Scholar |
