1,670 reputation
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age 34
visits member for 3 years, 10 months
seen Dec 8 at 10:44

Jul
2
awarded  Curious
Jun
10
awarded  Popular Question
Jan
31
awarded  Yearling
Nov
4
awarded  Notable Question
Oct
15
comment Question about the rationale of applying certain recovery rate by ISDA
Read the 2nd answer, it's all there.
Oct
10
comment Question about the rationale of applying certain recovery rate by ISDA
Either you didn't write what you mean, or you just don't understand how this works. experquisite's answer is much better.
Sep
3
asked Risk-neutral models for rights issues
Jun
10
comment Why use swap-rates in a yield curve?
Replacing it with the bank risk... which is higher than the sovereign risk, at least for the USA or UK.
Jun
4
comment VaR for portfolio of funds
Yes, much more clear. Thanks.
Jun
4
accepted VaR for portfolio of funds
Jun
3
comment VaR for portfolio of funds
Please do, this is interesting.
May
30
comment VaR for portfolio of funds
"adding statistics of historical deviations of the fund portfolio from the (1) view" - do you mean tracking the difference between the fund valuation and the valuation of its assets using mid prices?
May
29
comment VaR for portfolio of funds
@BobJansen "Do you want to incorporate market inefficiencies such as the trading costs each fund makes?" Yes.
May
28
awarded  Notable Question
May
28
comment What is the difference between a recovery swap and a CDS?
Recovery swap is a hedge against the recovery rate risk, not against default risk.
May
21
comment VaR for portfolio of funds
Why? Over the space of 1-10 days the funds NAV should track their assets' values rather closely.
May
21
asked VaR for portfolio of funds
May
7
asked Risk-free rate for ex-post evaluation of investment strategy
Feb
15
awarded  Necromancer
Jan
31
awarded  Yearling