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Aug
4
awarded  Popular Question
Jun
21
awarded  Commentator
Jun
21
accepted VaR calculation accuracy/comparison/effectiveness through different R packages
Jun
21
comment VaR calculation accuracy/comparison/effectiveness through different R packages
is it the book "Quantitative Risk Management: Concepts, Techniques, and Tools Alexander J. McNeil, Rüdiger Frey, & Paul Embrechts"..?.btw how i can reach you ? my email: purnendumaity@gmail.com
Jun
21
awarded  Teacher
Jun
21
answered Parameters variation in fundraising financial model
Jun
21
asked VaR calculation accuracy/comparison/effectiveness through different R packages
May
3
awarded  Popular Question
Sep
24
awarded  Autobiographer
Oct
16
asked What is the best alternative of Quantlib library
Oct
15
awarded  Editor
Sep
29
comment What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
very clear explanation...any help on below: If I have only 12 monthly return series is it meaningful to calculate Stutzer index? (most of the implemented algorithms I'v seen so far are on daily returns of at least 100-120 observations)
Sep
23
asked What is the correct Stutzer index and Sharpe ratio relation, assuming a normal returns distribution?
Aug
7
awarded  Scholar
Aug
7
awarded  Supporter
Aug
7
accepted How to calculate VaR/CVaR for private equity, hedge fund, and alternative investment portfolios?
Aug
4
comment How to calculate VaR/CVaR for private equity, hedge fund, and alternative investment portfolios?
To put more clarity, what is best among below 3 methods: historical data(assuming normal distribution), monte carlo simulation using Brownian motion, Monte Carlo using Generalized Pareto Distribution. How we can use Quantlib or any R package that is a later part.
Aug
3
asked How to calculate VaR/CVaR for private equity, hedge fund, and alternative investment portfolios?
Apr
9
comment Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD)
Yes we are trying ex-ante, as an additional feature along with ex-post things in report. Dependency modelling might be in 2nd phase depending upon client requirement.
Apr
8
comment Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD)
mpra.ub.uni-muenchen.de/17736/1/MPRA_paper_17736.pdf sama.ipsl.jussieu.fr/Documents/articles/2006_08_21_Carreau.pdf the 2nd paper suggests that we don't need to measure threshold which defines where the tail begins.