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| bio | website | |
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| location | ||
| age | 33 | |
| visits | member for | 2 years, 3 months |
| seen | 24 mins ago | |
| stats | profile views | 278 |
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11m |
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VaR for portfolio of funds To be precise, the funds can be traded in and out, but at the prices given by the fund. They're not ETFs. Does it make a difference? |
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1d |
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VaR for portfolio of funds Why? Over the space of 1-10 days the funds NAV should track their assets' values rather closely. |
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Nov 25 |
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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. |
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Nov 25 |
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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. |
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Nov 3 |
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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?). |
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Nov 3 |
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Trade execution in HFT - role of quants Thank you. Do you know how P&L is attributed to quants working on execution algorithms? |
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Feb 11 |
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Why is C++ still a very popular language in quantitative finance? @user492238 Subjective, like all the discussion about this question. |
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Feb 10 |
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Why is C++ still a very popular language in quantitative finance? @chrisaycock God forbid that somebody should flat THE MODERATOR!! ;-) |
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Jan 9 |
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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). |
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Jan 9 |
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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? |
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Jan 9 |
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Can you fully hedge an option in the presence of counterparty risk? Sure, thanks a lot for your time. |
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Jan 7 |
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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? |
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Jan 6 |
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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. |
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Oct 14 |
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How to detect regime change when estimating asset correlation from historical time series? Do you have any references about changepoint analysis? |
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Oct 12 |
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How to detect regime change when estimating asset correlation from historical time series? Could I use R for that? |
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Oct 2 |
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Library to solve optimization problems They don't have a fixed price. Call them. It depends on the number of cores it would be used on. |
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Aug 9 |
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What is the role of Credit Valuation Adjustment (CVA) desks in investment banks? Don't they deal with external clients (rather, counterparties) when they hedge the net exposure in the market? |
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Jul 25 |
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What programming languages are most commonly used in quantitative finance? I doubt it. Many places still develop models in C++. |
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May 7 |
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Cost function for hedging portfolio Coming back to it, calculation of the percentile of N-period losses requires some assumptions about the distribution of the hedged risky parameter (let's say it is the spread of the hedging instrument). I looked at the data and it's clear that it's neither Gaussian nor log-normal. What are other distributions people typically use? |
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May 3 |
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Understanding CDOs Just a nitpick: the question is about cash CDOs. So-called "synthetic CDOs" are unrelated to mortgages. |
