Quartz

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326 reputation

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visits	member for	7 months
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Monte Carlo, risk, QMC, statistical efficiency, high dimensional approximation...

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8 Answers

votes activity newest

3	Transformation to reduce standard deviation without changing median
3	Overview of software companies in the industry
3	Reference request: Survey article on GPU in Finance
2	Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR
2	Random matrix theory (RMT) in finance

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326 Reputation

+30	Transformation to reduce standard deviation without changing median
+15	Stress testing covariance
+5	Credit spreads vs default events dependence
+10	Reasoning behind multiple names for the equivalent risk measures AVaR/ETL/ES/CVaR

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5 Questions

votes activity newest

4	Basel CVA VaR with R/WWR
3	Credit spreads vs default events dependence
3	Stress testing covariance
3	What makes IRC a market risk?
1	VaR backtesting with overlapping time intervals

40 Tags

3 programming × 2	3 distribution
3 reference-request	3 volatility
3 software	3 normal-distribution
3 gpgpu	3 stochastic-processes
3 hardware	2 var × 2

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