|
 Foreign
Inflation-Linked Bonds 30 Apr 2007
Is there an advantage to diversifying with foreign
inflation-indexed bonds?
Full
time in a Quant program 02 Apr 2007
Career advice: Best graduate programs for becoming a quant.
Prepayment
modeling 20 Feb 2007
Prepayment modeling for mortgage-backed securities.
Are
climate risks insurable? 25 Jan 2007
Discussion of possible hedges and implications.
Option's
Portfolio (interesting quest) 10 Jan 2007
Big-shot trader takes extraordinary risk; won't talk to risk
manager.
CDS
pricing arbitrage 22 Oct 2006
Practical challenges of replicating a credit default swap.
So
how would VaR or other risk measures have saved Amaranth
06 Oct 2006
Blame risk management for the failure of hedge fund Amaranth?
Help!
Potential Credit Exposure 20 Sep 2006
Calculating potential credit exposure in practice.
Monte Carlo for prepayment modeling 30 Jul 2006
Modeling prepayment in mortgage-backed securities.
Mathematical notation 25 Jul 2006
Feedback on the financial notation project.
Greeks - Basics 18 Jul 2006
An insightful look at interdependencies between the Greeks.
Algorithmic
trading systems 08 Jun 2006
Hedge fund hucksterism.
Where to go from backend office? 03 Jun 2006
Wake up and smell the roses.
Stochastic with 0 volatility 11 May 2006
The finance vs. economics divide: which academics really know
their stuff?
MBA vs. CFA 05 May 2006
Professional qualifications, "certification mills" and the taint
of money.
CDS spead correlation 03 May 2006
Only 50% of a credit spread may be due to credit risk.
why volatility ... may not be a good measure of risk ...
23 Apr 2006
What to look for when selecting a metric of risk.
Delta risk of forward strike options 12 Apr 2006
An interesting option pricing puzzle.
VaR Weaknesses 09 Apr 2006
Purported shortcomings of value-at-risk.
Portfolio Insurance Strategies 05 Apr 2006
Impact of stochastic volatility on dynamic hedging.
Journal of Risk Shutting Down? 28 Mar 2006
Are there any quality journals for financial risk management?
Credit Risk Model for ABS 24 Mar 2006
Modeling an auto-loan asset-backed security.
Your idea wanted! Does Overnight Loan have market risk?
24 Mar 2006
Inconsistencies in value-at-risk calculations.
Duration
of CDS 05 Dec 2005
Does a credit default swap have a duration?
CFA
Institute 18 Nov 2005
Criticism of the CFA Institute.
Resume
Padding 15 Nov 2005
The problem of politically savvy incompetent quants.
certificate
in risk management ???? 29 Oct 2005
Criticism of the CFA Institute and advice for a physicist
transitioning to finance.
Trade
Errors 19 Oct 2005
Quantifying risk due to mistakes in trade execution.
How
to set VaR limit on market risk? 13 Oct 2005
What is the right way to set trading limits?
Spread
Duration Calculation - simple question 08 Oct 2005
What is spread duration?
hedging
credit derivatives 08 Sep 2005
How to hedge a CDS or CDO?
what
is product controller's task? 03 Sep 2005
Produce controller's role vs. risk manager's role.
GARP
EXAM 01 Sep 2005
Is GARP's FRM certification a scam?
Interest
rate model For Fx Swap an 02 Aug 2005
Jump-diffusion models and paralysis by analysis.
Positive
definiteness of Correlation Matrix 29 Jul 2005
Intuitively, why must a correlation matrix be positive definite or
positive semidefinite?
Problems
with Delta-Gamma VaR? 24 Jul 2005
Is there a correct way to calculate delta-gamma value-at-risk?
VAR
calculation for non-normal portfolio 21 Jul 2005
Projecting a one-year value-at-risk to multiple years.
Risk
management certification 08 Jul 2005
Controversy following the GARP scandal.
Shhets
05 May 2005
Can you trust a trader's prices for accounting or risk management
purposes?
Key
Performance Indicators for Risk Management Function 15
Apr 2005
How can you assess the performance of a risk management
department?
HeterosCedacity
vs. HeterosKedacity 03 Mar 2005
Which spelling is correct?
Role
of Operational Risk Management Staff 27 Feb 2005
Who within a firm actually "owns" operational risk?
Correlation
book 26 Feb 2005
Implied correlation and credit portfolios.
private
equity - risk measurement 21 Feb 2005
How do you measure the risk in a private equity portfolio?
Correct
a Model Error, or Improving a Model? 10 Feb 2005
Model error and operational risk management.
CAPM
& normal distribution 28 Jan 2005
Does portfolio theory assume asset returns are normally
distributed?
VaR for futures - based on notional or P/L (market value)?
19 Jan 2005
Calculating value-at-risk for a futures portfolio.
Historical
VaR mirror scenarios 06 Dec 2004
Challenges of implementing an historical value-at-risk measure.
correlations
31 Oct 2004
Inferring a correlation from two other correlations.
Vintage
curves 19 Oct 2004
Resources for assessing MBS prepayment risk.
A
problem with hedged annuities 22 Sep 2004
Challenges of auditing a purported hedge.
Maximum-loss/scenario
analysis 20 Sep 2004
Practical challenges of stress testing.
Comparing
Banks' VaR 03 Sep 2004
Is it meaningful to compare one bank's reported value-at-risk with
that of another bank?
Energy
Risk Management 26 Aug 2004
Performance assessment and risk measurement in electricity
trading.
Limit
on options position 24 Aug 2004
Specifying market risk limits for options positions.
Pricing
of worst-of rainbow option 25 Jul 2004
Why would a derivative's price decrease with an increase in
implied volatility?
Validating
Credit Model 07 Jul 2004
Is it even possible to validate today's credit risk models?
Classification
of Backtest Exceptions 11 Jun 2004
Challenges of assessing a backtests of a value-at-risk measure.
Int.
Audit & Rsk Mgmt: Complementing or duplicating 10 May 2004
Differing roles of internal audit and financial risk management.
Credit
Default Swap Portfolio 19 Apr 2004
How do you assess risk for a "mystery" CDS portfolio?
Trades
driving the VaR 12 Apr 2004
Allocating a portfolio's VaR among its individual holdings.
Subjective
VaR 01 Apr 2004
Subjective nature of riskis anything truly random?
What
is Copula functions? 20 Mar 2004
Wide ranging discussion of copulas in finance.
VaR
Limit for ASS 02 Mar 2004
Market risk and assets held-for-sale.
Mark
to Market 02 Mar 2004
Accounting for transaction costs market values.
Regulation
on Derivatives 25 Feb 2004
Regulation of OTC derivatives.
Operational
Risk Management 20 Feb 2004
Challenges of quantifying operational risk.
Liquidity
16 Feb 2004
How to define a bond's liquidity.
VaR
for a large option portfolio 06 Feb 2004
Realities of implementing a production value-at-risk measure.
Interest
Rate Risk Factor 03 Feb 2004
Interest rates vs. discount factors as key factors in a VaR
measure.
Regulatory
capital Vs economic capital 30 Dec 2003
Differences between regulatory and economic capital.
Models
- BDT, BK, HW ... 20 Dec 2003
Term structure models as part of a value-at-risk measure.
BPV
for Int Rate Swaps 17 Dec 2003
A look at what it is really like to be a risk manager.
VaR
on FRNs 09 Dec 2003
Value-at-risk for floating rate notes.
Merger
Arbitrage 31 Oct 2003
Lengthy discussion of merger arbitrage and skewed trading
strategies.
Delta-Gamma
Value At Risk 23 Sep 2003
Quadratic value-at-risk.
Negative
rates and risk management 02 Sep 2003
Modeling issues posed by negative interest rates.
Bond
Portfolio's Exposure to the swap curve 27 Aug 2003
Continuation of the previous thread.
Glyn
could you email me? 14 Aug 2003
A bond portfolio's exposure to the swap-Treasury spread.
PCA
with correlation matrix 06 Aug 2003
Principal components of the yield curve.
Semivariance
21 May 2003
Definition and estimation of semivariance.
Volatility
and Duration 06 May 2003
Misuse of the term "duration."
Setting
Client credit limits 29 Apr 2003
On what basis should counterparty credit limits be set?
Backtesting
Expected Shortfall 25 Apr 2003
Challenges of backtesting with certain VaR metrics.
Why
firms really manage risk? 16 Apr 2003
What motivates managers?
Why
is risk/uncertainty unpleasant? 12 Apr 2003
Modifying investors' risk aversion.
risk
and diversification 09 Apr 2003
Leptokurtosis and diversification.
Valuation
of Options 01 Apr 2003
Modeling bond options.
Relative
Value of Bonds 11 Mar 2003
Identifying cheep bonds.
Risk
of failing to achieve earnings target 11 Mar 2003
Probability of failing to achieve an earnings target as a risk
metric.
Hedging
Convertibles with Index Futures? 19 Feb 2003
Realities of hedging a complex exposure.
Risk
measures 11 Feb 2003
A brief exchange about how to select an appropriate VaR metric.
Enterprise
Risk Management 03 Feb 2003
Creating an enterprise risk management function.
Implementing
Risk-Controlling System 24 Jan 2003
Planning a risk technology implementation.
Generating
joint distributions 22 Jan 2003
Generating random vectors whose marginals are not normal.
Historical
VaR risk drivers 10 Jan 2003
Determining how a portfolio could lose an amount equal to its VaR?
Forex
rate movements... 02 Jan 2003
Empirical results for interest rate parity and purchasing power
parity.
Duration
for a swap 19 Nov 2002
Is the duration of a swap useful or even meaningful?
VaR
and standard deviation 25 Oct 2002
Various distributional assumptions for VaR.
Benchmark
Var 20 Sep 2002
Calculating a portfolio's value-at-risk relative to a benchmark.
Duration
of FRNs 19 Sep 2002
Duration of non-standard floating rate notes.
Credit
risk in equity derivatives 16 Sep 2002
Back-to-back deals eliminate market risk but not credit risk.
What
is the "best" method for calculating VaR? 11 Sep 2002
Do we "calculate" value-a-risk or do we "estimate" it?
Fractal
& Agent based Financial Model 6 Sep 2002
Fractals in financial modeling.
VaR
for Statistical Arbitrage 15 Aug 2002
Lengthy discussion of pairs trading.
transition
from fundamental to quant analysis 11 Aug 2002
Career advice: transitioning from equity analysis to financial
engineering.
correlation:
based on returns or absolute levels? 4 Aug 2002
Calculating correlations for financial time series.
skewness
& kurtosis 31 Jul 2002
Performance assessment when returns exhibit skewness and kurtosis.
help:
historical simulation for bonds 11 Jul 2002
Shortcomings of historical transformations procedures in VaR
measures.
Buy
Side/Sell Side 10 Jul 2002
In finance, what do the terms "buy side" and "sell side" mean?
Tracking
Error 28 Jun 2002
How to measure a benchmarked portfolio's tracking error.
Eigenvalues
et al. 12 Mar 2002
Intuitively, what are eigenvalues and eigenvectors?
cumulative
Non central Chi square distribution in C 26 Feb 2002
References for numerically valuing the chi-squared distribution
function.
Addition
of VaR 18 Feb 2002
Combining market risk and credit risk into a single risk measure.
Interest
Rate Swap 14 Feb 2002
Regulatory treatment of swaps vs. repos.
the
short end of the yield curve through currency swap 5
Feb 2002
Inferring a yield curve across currencies.
REPOs-Stress
Testing for Fed policy changes 28 Dec 2001
Fed intervention and the market risk of a repo book.
Dividend
Yield of S&P 500 29 Aug 2001
Challenges of calculating a dividend yield for the S&P 500.
Quasi
Monte Carlo methods and best LDS 13 Aug 2001
Quasi-Monte Carlo method and patents on its use.
Commodity
VaR 01 Jun 2001
Calculating value-at-risk for physical commodities.
Trading
the skew 16 May 2001
Dangers of shorting out of the money options.
How
does Convert Bond issuance affect stock prices 09 May
2001
Attitudes towards convertible bonds.
LIQUIDTY
RISK 24 Apr 2001
What exactly is liquidity risk?
Liquidity
Risk 29 Mar 2001
Ways to assess liquidity risk.
What
does the "turnover" mean for a stock 24 Mar 2001
Two definitions of "turnover" in the equity markets.
why
managed financial risk? 21 Mar 2001
The academic debate over whether risk management adds value.
RAROC
20 Mar 2001
RAROC: time horizon and trades with negative marginal risk.
Value
Based Management 16 Mar 2001
Challenges and shortcomings of "value based management."
Swaption
duration - student 07 Mar 2001
Analytic formula for the duration of a swaption.
Setting
VaR limit 11 Dec 2000
Setting value-at-risk limits based on Greek limits.
convexity
of the futures strip 10 Nov 2000
Convexity bias of futures.
Stop
Loss 05 Oct 2000
Should value-at-risk be modified to reflect stop-loss orders on a
portfolio's holdings.
VAR
in insurance company 16 Aug 2000
How is value-at-risk used in insurance companies?
Hedge
Costs 17 Jul 2000
Brief exchange about the costs of hedging?
Pricing
European Options - Existing Models ? 17 Jul 2000
Models for pricing European options.
Portfolio
rebalancing 06 Jul 2000
How much return is gained or lost through portfolio rebalancing?
risk
arbitrage 18 Jun 2000
What is risk arbitrage, and how does it work?
Realistic
scaling of VaRs to annual horizons ... 08 Jun 2000
Challenges of scaling value-at-risk to long horizons.
Stress
testing Convertible Bonds 27 Apr 2000
Analyzing the market risk of convertible bonds.
Funds
Transfer Pricing 13 Apr 2000
Funds transfer pricing within banks.
Asset/Liability
Management 16 Mar 2000
What types of risk should asset-liability management (ALM)
encompass?
VAR
and semivariance 22 Feb 2000
Semi-variance and market risk measurement.
option
adjusted spread 10 Feb 2000
References on option-adjusted spread analysis (OAS).
RAROC
18 Jan 2000
References on risk-adjusted return on capital (RAROC).
dividend
adjustment for v@r 08 Jan 2000
The complexities dividend payments introduce into value-at-risk
calculations.
Hull's
market price of risk 05 Jan 2000
What is the "market price of risk" in financial engineering?
RAROC
21 Dec 1999
What banks were using RAROC in 1999?
Contract
for Differences 14 Dec 1999
Use of contracts for differences in deregulated electricity
markets.
Backtesting
Credit Risk Models 19 Oct 1999
Brief exchange about how or if portfolio credit risk models can be
backtested.
Why
some company loss money in hedging? ... 16 Oct 1999
Use and abuse of the word "hedging."
TRIVIAL:which
interest rate should be used in Black Scholes 30 Aug
1999
What rate to use as a risk free rateT-bill, Libor, repo?
Non
positive definite matrices...??? 16 Aug 1999
What to do about estimated correlation matrices that are not
positive definite.
When
is an interest rate cap considered at the money? 24 Jun
1999
Does the "moneyness" of a caplet depend upon the spot or forward
interest rate?
interest
rate for bad credit recovery 04 Jun 1999
At what interest rate should the value of distressed debt be
discounted?
Measuring
Beta 03 Jun 1999
References to the scholarly literature on beta.
Am
I long or short a swap? 28 May 1999
Which side of an interest rate swap transaction is considered
long?
Yield
Curve Smoothing Techniques 13 May 1999
Curve fitting techniques for building yield curves.
Risk
Correlations 06 May 1999
Measuring the risk of rare events and properties of the
joint-normal distribution.
Market
Value of Equity at Risk 20 Apr 1999
Are demand deposits long-term or short-term funding for a bank?
Does
Beta work for bonds? 19 Apr 1999
Applicability of beta to bonds.
mart-to-market
of swaps 14 Apr 1999
Swap and bond pricing conventions.
Credit
derivatives and Pension funds 13 Apr 1999
Applicability of credit derivatives as pension fund investments.
FRN
Duration 15 Feb 1999
Assessing the market and credit risk of floating rate notes.
Convertible
Bonds & CreditMetrics 07 Jan 1999
Brief exchange about how to extend credit risk models to
convertible bonds.
Alternatives
to VaR 07 Jan 1999
Brief exchange about alternatives to value-at-risk.
Arbitrage
rule in VAR 20 Dec 1998
Brief exchange about the ability of value-at-risk to reflect
hedges.
Risk
Intuition 16 Dec 1998
Debate about the definition of risk.
Delta-gamma
method 26 Nov 1998
Quadratic VaR measures.
Mortgage
Prepayments 22 Oct 1998
Modeling mortgage prepayment for MBS pricing.
Black-Scholes
07 Oct 1998
Intuitive understanding of the Black-Scholes formula.
Can
RiskMetrics Cash Flow Mapping style VAR be used for ...
24 Sep 1998
Inapplicability of linear VaR measures for mortgage-backed
securities.
The
origin of VaR 23 Sep 1998
Pre-RiskMetrics history of value-at-risk.
Conduits
and REMICS 18 Sep 1998
Differences between conduits and REMICS
Probability
Distribution Function of Price Multiples 16 Sep 1998
Applicability of the lognormal distribution for modeling P/E
ratios.
market
liquidity risk 11 Sep 1998
Incorporating liquidity considerations into value-at-risk
measures.
Spread
options ? 05 Sep 1998
Techniques for valuing spread options.
Crystal
Ball Time 05 Sep 1998
Predictions about the near-term future of financial risk
management.
Hedging
CMBS 04 Sep 1998
How traders hedge commercial and residential MBS
Options
probability distributions 02 Sep 1998
Risk neutrality and the probability of an option expiring
in-the-money.
CreditMetrics.
Is VaR subadditive ? 20 Aug 1998
Why value-at-risk is not a subadditive risk metric.
Lognormal
stock prices 29 Jul 1998
Discusses lognormality and leptokurtosis in equity markets.
Pricing
of a basis swap 10 Jul 1998
Technical challenges of pricing basis swaps.
equity-/equity-VaR
09 Jul 1998
Challenges of implementing value-at-risk for equity options.
CreditMetrics
Technical Document 08 Jul 1998
Brief exchange about technical aspects of the CreditMetrics
methodology.
Backtesting
27 Jan 1998
The Basel Committee's methodology for validating value-at-risk
measures.
COFI
Index forecasting 05 Dec 1997
Techniques for forecasting future values of the COFI index.
Common
Credit Exposure Calculations 13 Oct 1997
Credit exposure for bonds.
Attribution
Analysis on fixed Income portfolio 11 Aug 1997
Brief exchange about performance attribution for fixed income
portfolios.
Article
108 06 Aug 1997
Untitled thread debates the merits (or lack of merits) of
value-at-risk.
VAR
as a RAPM 01 Aug 1997
The relative merits of return on capital and economic profit as
RAPMs.
Convexity
Bias 05 Jun 1997
Convexity bias and the construction of spot curves.
Calculating
implied moments for option-portfolio 15 May 1997
RiskMetrics proposal for quadratic (delta-gamma) VaR
measures.
Internal
Audit vs. Risk Management 30 Apr 1997
The roles of risk management and internal audit.
Modeling
of Operational Risk 21 Mar 1997
Debate about whether operational risks can or should be measured.
Exotic
Derivatives Pricing 20 Mar 1997
Challenges for middle offices confirming OTC prices.
Inconsistent
VAR Software 18 Mar 1997
Debate about reported disparities in results from different VaR
measures.
Financial
risk management for electricity markets 06 Mar 1997
Financial engineering for power market.
Inflation
Adjusted Treasuries 26 Jan 1997
Inflation-linked investments.
Historical
VAR 08 Jan 1997
Merits of historical transformation procedures.
Do
former traders make good risk managers? 04 Jan 1997
Whether former traders make good risk managers.
Leverage
Adjusted Performance 31 Dec 1996
Performance measurement of leveraged vs. unleveraged
portfolios.
|
