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Sep
16
answered Is there a way to adjust R PerformanceAnalytics function VaR with EWMA or GARCH method?
Jan
30
comment Applying interest rate shocks under Solvency II
I didn't realize the next impact study has just been launched. So thanks for pointing me in that direction. The new documents might unveil some new information.
Jan
30
awarded  Supporter
Dec
14
comment Applying interest rate shocks under Solvency II
for now, I'm interested in plain vanilla bonds. e.g. a bond that pays annual coupons, no options included. assumption is the bond is trading at a spread over the risk-free rate.
Dec
13
awarded  Student
Dec
13
asked Applying interest rate shocks under Solvency II