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visits member for 3 years, 8 months
seen Apr 20 at 20:51

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.
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
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
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.
Nov
25
comment How do I estimate the parameters of an MA(q) process?
Why the vote to close as off-topic? Time series analysis is very important in stat-arb/HFT trading.
Nov
25
comment How do I estimate the parameters of an MA(q) process?
Thanks. I know mature libraries are the way to go in production applications, but I am simply interested in this problem.
Nov
3
comment Trade execution in HFT - role of quants
Thanks, that's another thing which is good to know. However, I meant to ask about the attribution to the whole execution group, as opposed to the group which developed the strategy (or is it impossible to divide the work in this way and execution quants are effectively also developing the strategy?).
Nov
3
comment Trade execution in HFT - role of quants
Thank you. Do you know how P&L is attributed to quants working on execution algorithms?
Feb
11
comment Why is C++ still a very popular language in quantitative finance?
@user492238 Subjective, like all the discussion about this question.
Feb
10
comment Why is C++ still a very popular language in quantitative finance?
@chrisaycock God forbid that somebody should flat THE MODERATOR!! ;-)
Jan
9
comment Can you fully hedge an option in the presence of counterparty risk?
Oh, of course, I'm far from being a "gold bug". I don't have an issue with using BS model "with caution". I have doubts about CVA modelling -- there it is claimed that you can price counterparty risk in a risk-neutral way (ergo, hedge it).
Jan
9
comment Can you fully hedge an option in the presence of counterparty risk?
Take the example of AIG, which was acting as a sort of broker of credit protection: it was long CDO protection (from monoline insurers) and short single-name protection. The monoline protection AIG purchased turned out to be illusory, and it was swamped with margin calls. If the taxpayer didn't step in, AIG would have collapsed and its counterparties who purchased single-name protection from it would be in deep trouble. Isn't it a counterexample to your claim that there would be no need for taxpayer assistance?
Jan
9
comment Can you fully hedge an option in the presence of counterparty risk?
Sure, thanks a lot for your time.
Jan
7
comment Can you fully hedge an option in the presence of counterparty risk?
1) What about the case of MF Global? 2) What about OTC options?
Jan
6
comment Can you fully hedge an option in the presence of counterparty risk?
Is it only about the lower price? What about the completeness of the hedge? You "hedge" counterparty risk by entering into another trade with another counterparty, which carries its own counterparty risk. Does the buck stop anywhere? and where? with a "too big to fail" bank backed by the taxpayer? Sovereigns are not risk-free anymore.