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location Switzerland
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visits member for 1 year, 11 months
seen Jul 17 at 18:38

Jun
27
answered Non-negative matrix factorization for factor analysis of stocks
Jun
26
revised Modelling with negative interest rates
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Jun
26
revised which product supports Basel III LCR (liquidity coverage ratio) reporting?
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Jun
7
revised Modelling with negative interest rates
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Jun
7
revised Modelling with negative interest rates
deleted 203 characters in body
Jun
6
revised Modelling with negative interest rates
deleted 203 characters in body
Jun
6
revised Modelling with negative interest rates
deleted 203 characters in body
Jun
6
revised Modelling with negative interest rates
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Jun
6
revised Modelling with negative interest rates
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Jun
6
comment Modelling driftless stock price with geometric Brownian motion
@Bill, you should copy paste carefully from files (: you included the bracket in the domain link)
Jun
6
answered Modelling with negative interest rates
Jun
5
answered What is the hedging underlying of MBS
Jun
5
comment Implied Probability of Default from Bond Prices
I understand survival as a function of delta t (you are non dead between the moments t0 and T) while I understand non-default as a function of t (you are not dead at moment T). Survival is the investment point of view and non-default is the liquidation approach.
May
22
answered Implied Probability of Default from Bond Prices
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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