jeff m

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35 Comments

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22h	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 28	comment	analyze strategy performance with given matrix of weights/time and weekly returns in R Of course its possible - I think what you're actually asking is has someone already built a package/function for you.
Mar 18	comment	Kolmogorov-Smirnov test You are talking about weak/semi-strong/strong efficient, markets correct?
Mar 12	comment	Calculate the expectation of a shift CDF Wouldn't this just be positive drift?
Mar 7	comment	Is there a comprehensive reference book on US fixed income conventions? That's an amazingly concise reference sheet, I'd love to see something similar available for the US market. Fabozzi would be a good start. Giddy/Damodaran from NYU also have some good material publicly available on their websites.
Mar 4	comment	compute FX forward from broker's data I have no idea what you're asking. Are you just asking the quoting convention of forward points?
Jan 17	comment	When hiring a quant, how can I protect my IP? Also, it might be worth considering copying over the database/procs and populating the tables with transformed data that you could easily reverse. Although this might not be possible depending on what you need the hire to do.
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.
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.
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.
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 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.
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.