SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 5 matches

by teaplus1
April 8th, 2014, 6:42 pm
Forum: General Forum
Topic: Measuring risk
Replies: 15
Views: 6424

Measuring risk

<t>"If, as a customer, you told your broker what the worst-case scenario is for your portfolio, he would not waste his time reading the email"Yes, of course. But I'm talking about a prime broker relationship where all assets are in custody of the bank, so it is not an issue of trusting the VaR numbe...
by teaplus1
April 8th, 2014, 4:30 pm
Forum: General Forum
Topic: Measuring risk
Replies: 15
Views: 6424

Measuring risk

<t>Good point - btw: the prime brokers I have worked with (Goldman Sachs, UBS, Morgan Stanley) all use a combination of simple worst-case scenarios ("what if all stocks fall X%", "what if your 5 greatest positions fall Y%", "what if the least liquid stocks fall Z%", etc) to find margin requirement f...
by teaplus1
April 7th, 2014, 5:47 pm
Forum: General Forum
Topic: Measuring risk
Replies: 15
Views: 6424

Measuring risk

<t>Try googling the phrase "measure risk". When I do this I only see links from the financial world, although "risk" is a general word which applies to lots of other things. Why?When I criticize mathematical risk models such as VaR, people typically reply "...yes, but...what is the alternative? We h...
by teaplus1
January 10th, 2014, 9:04 am
Forum: Trading Forum
Topic: Why are gold stocks reporting low earnings?
Replies: 2
Views: 5627

Why are gold stocks reporting low earnings?

<r>Remember that revenues are not closely related to the price of gold, but rather production * price of gold.Part of the reason why gold is valuable is that it is hard to find... According to this on wikipedia, most counties are struggling to keep production up, except the chinese (and I'm guessing...
by teaplus1
December 16th, 2013, 9:31 am
Forum: The Quantitative Finance FAQs Project
Topic: What is Value at Risk and how is it used?
Replies: 18
Views: 218547

What is Value at Risk and how is it used?

<t>"What is Value at Risk and how is it used"So far there has been a good discussion about what VaR is, but not much about how it is used. How should it be used? (Other than allocating trading limits among traders/teams, which has been mentioned). Increase exposure when VaR is low, decrease when hig...
GZIP: On