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

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?
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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
Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
edited title
Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Nov
30
answered Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?