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ladz

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visits member for 1 year, 11 months
seen Aug 21 '12 at 15:18
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46 reputation
 bio website visits member for 1 year, 11 months
5 badges
 location seen Aug 21 '12 at 15:18
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What is the best way to “fix” a covariance matrix that is not positive semi-definite?

risk statistics research correlation covariance
dec 16 '11 at 10:06 Tal Fishman 6,740
1
3
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2
answers
158
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Is it true that pricing an IR swap doesn't require any stochastic model but calculation of the PFE of an IR swap would?

fixed-income interest-rates derivatives pricing swaps
jul 12 at 21:01 WD_R 1
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5
answers
851
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Recommendation for a book on CVA/Credit Risk and PD/LGD/EAD modeling?

risk research modeling risk-models cva
apr 6 '12 at 1:59 Quant Guy 7,531
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