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location Pune, India
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visits member for 1 years, 4 months
seen Feb 22 at 8:03

SAS and R programming and modelling


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.
Apr
8
comment Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD)
I am trying to reading below two paper:
Apr
8
comment Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD)
Very good answer, I don't have rights to give up vote. You are right, to cover many asset classes in one application is a big project but as I mentioned Usage will not be for accurate Market Risk valuation purpose but more of a Investment Performance Risk Analytics report so as a shortcut I want to use GPD to model fat tails for all asset classes. I am looking at the book Could you give me any pointer towards GPD Monte Carlo implementation framework ?
Apr
6
asked Value at Risk Monte-Carlo using Generalized Pareto Distribution(GPD)
Dec
17
awarded  Student