Richi Wa's user avatar
Richi Wa's user avatar
Richi Wa's user avatar
Richi Wa
  • Member for 11 years, 10 months
  • Last seen this week
6 votes
1 answer
1k views

Stability of correlations and volatility

6 votes
0 answers
936 views

Shrinkage Estimator for Newey-West Covariance Matrix

6 votes
0 answers
210 views

Interplay of statistical factors (PCA) and market factors (value, momentum, low vol, ...)

5 votes
1 answer
282 views

Is Low-Volatility expensive these days? How can we analyze this?

5 votes
2 answers
3k views

Black-Litterman, how to choose the uncertainty in the views $\Omega$ for smooth transitions from prior to posterior

5 votes
2 answers
1k views

Black-Litterman: Why should the views be independent of each other?

5 votes
1 answer
1k views

Open source equity/bond index data

5 votes
1 answer
695 views

Quantitative risk model for an open real estate mutual fund in Europe

5 votes
2 answers
124 views

Approach to add scenarios to OpRisk loss distribution

5 votes
2 answers
2k views

Retrieval of MSCI factor index performance data from the web

4 votes
1 answer
188 views

Modelling operational risk for Basel pillar 2 (internal model for OpRisk VaR)

4 votes
1 answer
228 views

Dominating credit risk modeling approaches for capital calculation in banks

4 votes
2 answers
169 views

Is there an encyclopedia of peformance/risk measures for backtests of strategies?

4 votes
0 answers
183 views

Risk factors for derivatives on dividends

4 votes
1 answer
2k views

Modelling VIX Futures for risk management

4 votes
2 answers
3k views

Implied Volatility for Asian option

4 votes
1 answer
1k views

Option based portfolio insurance in practice

4 votes
2 answers
2k views

Seasonal patterns in financial markets (weekday effects)

4 votes
0 answers
825 views

Application of time series analysis to Bitcoin prices [closed]

4 votes
2 answers
1k views

Backesting VaR on overlapping intervals to year's end

4 votes
1 answer
250 views

Definition of factor premium: against cap weighted index or against treasury bills?

4 votes
1 answer
537 views

Modelling returns in the real world measure with or without drift

3 votes
0 answers
113 views

Underperformance of low vol factor after US presidential election, comeback of Value

3 votes
0 answers
111 views

Portfolio insurance strategy with path dependence

3 votes
1 answer
262 views

Why is there an upper limit on the premium of an ATM (!) call swaption in the Black76 model?

3 votes
1 answer
343 views

Risk and Reward in practice

3 votes
4 answers
3k views

How to properly interpret accrued interest of bonds

3 votes
0 answers
235 views

Credit scoring: combining application and behavior scoring

3 votes
0 answers
332 views

Modelling approaches for interest rate risk in the banking book (IRRBB)

2 votes
2 answers
4k views

Fair swap rate of an amortizing swap