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Python and R


Aug
9
comment What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Put it this way. The term "front office" of a bank inherently involves selling. Traders, Researchers, and Salespeople are engaged with providing services to their clients, in various ways. That is not the case for CVA - they are there to help create the conditions for those services to be offered by the front office, by optimizing one aspect of risk. Indeed, it is important that CVA does NOT report to front office, as this would be a conflict of interest. Keep this in mind though: CVA people have all the skills and training to become excellent prop traders or portfolio managers.
Aug
9
comment What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
yes indeed, they are fully active in the external market, but then they're market takers, not makers. In other words, they're the client. Perhaps my characterization of "middle office" is misleading, now that I think of it. Rather, they're part of the risk control function, which some banks breakout separately into counterparty risk.
Aug
9
awarded  Teacher
Aug
8
revised What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
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Aug
8
revised What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
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Aug
8
answered What is the role of Credit Valuation Adjustment (CVA) desks in investment banks?
Aug
8
revised How to derive the implied probability distribution from B-S volatilities?
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Aug
8
asked How to derive the implied probability distribution from B-S volatilities?
Jun
20
comment How do I compare implied and historic volatility?
@vonjd I have found the following two papers to be interesting wrt to this question as well: bcb.gov.br/ingles/estabilidade/2002_nov/ref200201c62i.pdf and rbnz.govt.nz/research/discusspapers/dp02_04.pdf
Jun
17
awarded  Scholar
Jun
17
accepted How do I compare implied and historic volatility?
Jun
17
comment How do I compare implied and historic volatility?
thanks for the links to the paper and the book. So there is no point in trying to compare the skew and kurtosis of the historic distribution, to the risk reversal pricing and smile of the curve, analagous to how macro traders will compare historic with implied ATM vol? That's what I was wondering basically. Second, what do you mean by overlapping data? I am using bloomberg "last price" closing prices, so there should be no overlap? For completeness I take log returns of that series and multiply by sqrt(262) to get the annualized vol. What would you do differently?
Jun
6
comment How do I compare implied and historic volatility?
@vonjd no with Excel. I am shamed to say that I while I am an experienced trader and programmer, I am not a quant, and am only beginning to learn R. So the data comes from Bloomberg, which gives the ATM, RR, and flys for each tenor and delta and I have backed out the outright vols for each point.
Jun
6
revised How do I compare implied and historic volatility?
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Jun
6
revised How do I compare implied and historic volatility?
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Jun
6
asked How do I compare implied and historic volatility?
Jun
5
awarded  Organizer
Jun
4
comment Monthly data for popular indices (constituents).
@Terco I have a spreadsheet that will do this if you like. It only does a few months, you'd have to fill out the other months by copying and pasting the formulae. You'll need access to the Bberg terminal though, with Excel and the add-in. Email me at lagunafinance at me dot com if you're interested.
Jun
4
comment How do I eliminate developed currency funding cross rate risk in an EMFX position?
@moderator: How can I start a bounty on this question? It doesn't seem to be letting me do so.
Jun
4
comment What concepts are the most dangerous ones in quantitative finance work?
Actually, we can turn this argument on its head. We can profit from the fact that correlation vanishes during a crisis, by selling correlation to the street. Fact is because many retail investors don't want to choose specific assets in an asset class, they tend to buy baskets. Since they also want capital protection, they tend to buy options on those baskets. Writing these options takes the street short the correlation of the basket elements, and they're happy to pay up to buy it back at (usually expensive) levels, which is what many Hedge Fund traders do through dual binaries and such like.