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Mar
6
comment What does tradable asset mean?
Yes, my first thought was cash but I removed it. What is cash? If you think of physical notes made from paper then those would not fulfill the requirements of tradable assets. So a tradable asset should be electronic at least. And in comparison to S&P futures, where would the funds for a trade in those come from? But it is clear that bank deposits imply credit risk and this limits tradability. I am no expert on these more payment and settlement related questions and open to better suggestions. It might even make a good followup question.
Mar
6
awarded  Editor
Mar
6
revised What does tradable asset mean?
deleted 6 characters in body
Mar
6
reviewed Needs Improvement How to get Multivariate Betas from an Estimated EWMA co variance Matrix?
Mar
6
reviewed Needs Improvement Black Scholes formula with continuous dividend paying stock
Mar
6
reviewed Satisfactory CIR model: is the short rate really non-central $\chi^2$ distributed?
Mar
6
reviewed Needs Improvement How to compute the VaR for European Call, using the delta-normal method?
Mar
6
reviewed Satisfactory How to obtain a log of all trades done on the Nasdaq or other major US exchange?
Mar
6
awarded  Custodian
Mar
6
reviewed Satisfactory Why is there onshore and offshore currency?
Mar
6
answered What does tradable asset mean?
Mar
3
comment What to use as portfolio diversification measure?
I agree with SRKX but would even go one step further. It does not make a lot of sense (at least to me) to discuss diversification unless you specify a risk measure. Then the perfectly diversified portfolio is one which minimises your particular risk measure.
Feb
7
comment Get distribution for aggregate loss using Monte Carlo
I am still not sure I understand because what you seem to want sounds somewhat unusual. Normally people fit frequency and severity and then simulate exactly to avoid doing a fit to the aggregate distribution. Why do you need a parametric representation of the aggregate losses, if you can simulate them?
Feb
6
comment Get distribution for aggregate loss using Monte Carlo
And by the way, given that losses from operational risk often are very heavy tailed, I would consider carefully whether a distribution for such losses should have finite variance
Feb
6
comment Get distribution for aggregate loss using Monte Carlo
Your question is not clear to me, what do you want to know: 1. Do you want to know how to do a Monte-Carlo simulation given a frequency and severity distribution? 2. Do you want to know how to calibrate a specific parametric distribution to your data at hand? Or do you want to know how to choose such a parametric distribution in the first place?
Jan
29
comment Which sports are generally the best for trading on betting exchanges for a profit?
Interesting read and good advice for beginners. Some of it should generalise to betting on other underlyings as well.
Jan
19
answered Longevity risk modelling
Oct
15
awarded  Yearling
Oct
15
answered Problem when calculating the daily return on a forex trade, what is the best way to do such a calculation?
Sep
19
answered Why would there be a positive risk-free rate?