408 reputation
211
bio website
location Switzerland
age
visits member for 2 years, 3 months
seen Aug 27 at 14:57

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?
added 1201 characters in body
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
Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
added 6 characters in body
Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
added 128 characters in body
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)?
added 4 characters in body
Nov
30
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
added 17 characters in body
Nov
30
answered Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Nov
30
comment Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Less demand for the 1year in Denmark because of the eurozone resque fund to come (anticipated/known few months in advance). Is Switzerland expected/going to issue 1Y positive bonds as well? Nov 27: The eurozone rescue fund opened books this morning via JP Morgan, Morgan Stanley and Natixis at guidance of 0.23% to 0.25% with pricing scheduled for later on Tuesday. The transaction will be rated A-1+/P-1/F1+, which are EFSF's short-term debt ratings.
Oct
16
comment Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Yes. There is definitely a pulling of the rate at 1 Y
Oct
15
awarded  Supporter