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seen Aug 1 at 18:36

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.
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.
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.
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.
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.
Dec
11
accepted How credible is Knight pointing the finger at Rule 107C?
Dec
8
comment Calculating pre-tax cost of debt
@CooperRoyce Unless I misunderstood the question, yes.
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.
Dec
7
answered Calculating pre-tax cost of debt
Oct
28
awarded  Critic
Oct
16
answered Multi Factor Credit Risk Models
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.
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.
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.
Oct
8
answered Analyzing tick data
Oct
6
answered Can money technically flow in and out of stocks or asset classes?
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.
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.
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.
Sep
25
answered Government bonds with negative yield