SERVING THE QUANTITATIVE FINANCE COMMUNITY

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February 9th, 2016, 5:27 pm
Forum: Careers Forum
Topic: Personal consulting company Quant Analysis
Replies: 3
Views: 3176

### Personal consulting company Quant Analysis

<t>Dear All,I have some 5-6 years experience in quantitative analysis (research, model development and front-office pricing) followed up with 5 years of proprietary trading based on quantitative methods. No HFT or anything, rather slow-moving energy markets.I am considering to start my own consultin...
January 22nd, 2013, 12:32 pm
Topic: Return on risk capital example
Replies: 15
Views: 10129

### Return on risk capital example

<t>Yes, I follow your computations.I understand how you scale to daily/yearly 95%/99% under the Gaussian assumptions.But your assumption of 20% vol of PnL is unclear. Is that simply a number you think is reasonable? If you would assume 30% vol or 50% vol your answers would have been something comple...
January 22nd, 2013, 11:46 am
Topic: Return on risk capital example
Replies: 15
Views: 10129

### Return on risk capital example

How do you make that assumption of 20%?That number is more or less what I'm looking for..
January 22nd, 2013, 8:11 am
Topic: Return on risk capital example
Replies: 15
Views: 10129

### Return on risk capital example

<t>I know enough about VaR I think.Given that the underlying market has a vol of 20%, I would have no idea what my VaR would be.Assume we trade Brent futures as an example.My VaR would be quite different if I would buy 1 lot or 200 lots. Right? Computing a VaR based on the vol of the underlying mark...
January 21st, 2013, 12:33 pm
Topic: Return on risk capital example
Replies: 15
Views: 10129

### Return on risk capital example

<t>Why is it so weird to ask how much one should expect from investing money in a trader (similar to your hedge fund investment you mention below)?To Samsaveel, I think you misunderstood my question. Or how can you suddenly get a VaR knowing only the volatility of the underlying market? I don't even...
January 17th, 2013, 1:23 pm
Topic: Return on risk capital example
Replies: 15
Views: 10129

### Return on risk capital example

<t>Well, the questions you ask are basically the answers I'm looking for.All I have is how much money I have to put into risk. I wonder what are suitable VaR and PnL targets for this.Assume underlying volatility in the market is 20%. Not sure how that would have an impact though, unless liquidity be...
January 17th, 2013, 8:33 am
Topic: Return on risk capital example
Replies: 15
Views: 10129

### Return on risk capital example

<t>Hi!I wonder what sort of return on risk capital that are expected from traders in trading firms. I'm looking for some sort of industry consensus.More concrete.Assume we have a company which gives a trader a risk capital of 10 M?. The trader is trading forwards/futures, so no initial investment is...
December 16th, 2010, 12:57 pm
Topic: Technical trading signals with statistical significance
Replies: 4
Views: 26001

### Technical trading signals with statistical significance

<t>Hi,Starting a trading job soon, I'm looking for some theories to base my trading on. Background in statistics, so I have a built-in skepticism towards technical analysis in trading. My problem is that I will have even more problems using some sort of fundamental analysis to form a gut feeling for...
September 15th, 2010, 6:22 am
Forum: Careers Forum
Topic: Career possibilities after Prop Trading position
Replies: 14
Views: 26883

### Career possibilities after Prop Trading position

September 13th, 2010, 2:22 pm
Forum: Careers Forum
Topic: Career possibilities after Prop Trading position
Replies: 14
Views: 26883

### Career possibilities after Prop Trading position

<t>Dear All,I have the possibility to start as a prop trader in an energy company trading futures.I have a master in Financial Maths/Statistics from the university, and I have been working as a Quant for some five years in the energy sector.My concern is about how companies will value my experiences...
May 26th, 2010, 10:56 am
Forum: Technical Forum
Topic: Set a VaR limit for trading company
Replies: 1
Views: 27918

### Set a VaR limit for trading company

<t>Dear All,Imagine a trading company, doing prop trading, being the daughter company of a larger company. I know all the relevant financial figures of the trading company (equiy, parent company guarantees, loans,... and whatever might be needed).My task is to set up a reasonable VaR limit.Are there...
September 28th, 2008, 2:26 pm
Forum: Off Topic
Topic: US Banks forced to give loans
Replies: 10
Views: 50797

### US Banks forced to give loans

<t>Hi!I just read an article in a Norwegian paper, where one Norwegian politician was cited.He said something like,"In US, there is a law that forces US banks to give loans to people that have a struggling economic situation. The la, forces the banks to give loans to everybody in their local geograp...
November 12th, 2007, 3:51 pm
Forum: Careers Forum
Topic: Stat arb performance
Replies: 5
Views: 62974

### Stat arb performance

So, you advice one not to go into this field!?I am considering a more traditional quant role as well, but I like the exposure to the market with a stat. arb. role.
November 12th, 2007, 12:16 pm
Forum: Careers Forum
Topic: Stat arb performance
Replies: 5
Views: 62974

### Stat arb performance

<t>Hi all!How are the performances for statistical arbitrage portfolios in investment banks in general? Can the better groups outperform market indexes over time?How are the performances compared to more traditional portfolios, based on company analysis?I am interested in equities only. No options o...
August 1st, 2007, 9:00 am
Forum: Student Forum
Topic: Sum of quantiles
Replies: 2
Views: 68378

### Sum of quantiles

Hi!I have a two-dimensional normal distribution giving values in X and Y.I don't know the parameters of the distribution, but I know the quantile values for X and Y, qX and qY, and the correlation, rho.What is then the quantiles of X+Y?Can that be expressed from qX, qY and rho?m
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