319 reputation
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location Switzerland
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visits member for 1 year, 7 months
seen Apr 4 at 18:06

Mar
5
answered Measuring liquidity
Mar
5
awarded  Yearling
Mar
5
answered How come the existence of ARCH effect is not a violation of Random Walk Hypothesis 3?
Jan
8
awarded  Nice Question
Aug
15
comment How popular is the IRR as a tool for capital budgeting, nowadays?
what I meant is that you make the comparison of "standard" IRR with the funding rate in order to decide if investment is profitable or not, assuming that all CFs are discounted at it. But this does not correctly take into account the RF/devaluation of the different future cashflows, as the FUTURE interest free risk rate is unknown, while you assume that you keep getting funded at the CURRENT funding rate, in a dynamic analysis (you estimate future parameters). By saying that the future funding rate is going to be the RF and future investment R=RF, you are almost sure to make a true assumption.
Aug
14
revised How popular is the IRR as a tool for capital budgeting, nowadays?
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Aug
14
answered How popular is the IRR as a tool for capital budgeting, nowadays?
Aug
14
comment What is the difference between Option Adjusted Spread (OAS) and Z-spread?
Mathematically, there is an interesting paper related to the non-linearity of this relationship (practically credit spread/o), in "Next Generation Models for Convertible Bonds with Credit Risk", p70, at wilmott.com/pdfs/030813_ayache.pdf
Jul
31
answered how to make a distribution model tolerable of trend?
Jun
19
answered Strategy of Renaissance Technologies Medallion fund: Holy Grail or next Madoff?
Jun
19
answered Heston - How important are the initial guess in calibration and if it is very important, what would be a good way to get initial guess?
Jun
19
answered Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?
Jun
19
comment Is it possible to model general wrong way risk via concentration risk?
Hi @Quartz, I have re-edited the question.
Jun
19
answered Are minimum-risk and minimum-variance portfolios equivalent?
Jun
13
revised Is it possible to model general wrong way risk via concentration risk?
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Jun
13
answered Block Bootstrapping Relative Returns
Jun
5
revised which product supports Basel III LCR (liquidity coverage ratio) reporting?
added 53 characters in body
Jun
5
answered which product supports Basel III LCR (liquidity coverage ratio) reporting?
Dec
5
asked Is it possible to model general wrong way risk via concentration risk?
Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
edited title