SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 11 matches

by HNK
August 26th, 2012, 4:55 pm
Forum: General Forum
Topic: credit default swaps
Replies: 7
Views: 191287

credit default swaps

google "JPM CDS model"should give you a good start
by HNK
November 26th, 2011, 9:31 am
Forum: Careers Forum
Topic: Being an entrepreneur in finance?
Replies: 14
Views: 17420

Being an entrepreneur in finance?

- Sorry, post deleted - not relevant (Is there a way to delete a post permanently?)
by HNK
November 26th, 2011, 9:28 am
Forum: Careers Forum
Topic: Hiring freeze on wall street
Replies: 8
Views: 18164

Hiring freeze on wall street

hearing salary cuts already happening (IMHO, that's better than getting fired)
by HNK
November 26th, 2011, 9:26 am
Forum: General Forum
Topic: why I think Tobin tax is wrong
Replies: 192
Views: 25085

why I think Tobin tax is wrong

<t>QuoteOriginally posted by: yuryrQuoteOriginally posted by: frenchXHow a HUMAN investor can possibly compete with a computer on a microsecond scale ? Simple. He can't. How can I (as a human, of course) possibly compete with big funds that use broker research to make an investment decision? Simple,...
by HNK
November 24th, 2011, 9:05 am
Forum: General Forum
Topic: why I think Tobin tax is wrong
Replies: 192
Views: 25085

why I think Tobin tax is wrong

<t>QuoteOriginally posted by: frenchX@ Paul : How is your 0.008% compared to average transaction costs and brokerage fees in nowadays market ?I read up a bit more on historical cases of implementation of such financial transactions taxes and the Swedish example was particularly impressive.This is qu...
by HNK
November 23rd, 2011, 2:45 pm
Forum: Careers Forum
Topic: FO to Middle Office, bad career move?
Replies: 16
Views: 18589

FO to Middle Office, bad career move?

<t>QuoteOriginally posted by: CaesariaFor some reason I think that the FO quant job lacks rigor, it is requires just knowledge of some regression and you'll make the traders happy. I am contemplating moving to middle office in a highly quantitative exotic pricing role where teams are larger and you ...
by HNK
November 23rd, 2011, 2:36 pm
Forum: General Forum
Topic: why I think Tobin tax is wrong
Replies: 192
Views: 25085

why I think Tobin tax is wrong

<t>QuoteOriginally posted by: katastrofaIf there is any economical benefit from HFT, it will survive being taxed at 1bp rate. If it won't, it means there was nothing really important about, just pointless speculation.and the downside of pointless speculation being? If HFT is profitable, it's picking...
by HNK
November 23rd, 2011, 2:24 pm
Forum: General Forum
Topic: Bootstrapping the intensity of default from CDS when the CDS market is illiquid
Replies: 3
Views: 16302

Bootstrapping the intensity of default from CDS when the CDS market is illiquid

<t>In an illiquid CDS market the inferences drawn from the implied hazard rates are just approximations, so you can use simple mid-values. If certain parts of the curve are missing, just fill them in as a flat-rate or interpolate or use some educated guess.Even otherwise, it's good to maintain a mar...
by HNK
October 30th, 2011, 10:53 pm
Forum: Careers Forum
Topic: flow quant?-what do you do?
Replies: 1
Views: 17337

flow quant?-what do you do?

For starters build some spreadhseets to extract default probabilities for different credits and maturities, something easy to use and sort
by HNK
October 9th, 2011, 4:28 pm
Forum: General Forum
Topic: Steps in starting a hedge fund
Replies: 15
Views: 20164

Steps in starting a hedge fund

<t>Not v expensive to start a fund management company (which is what you mean i believe)1. register a company in your particular country (the fund management company, where you and people you hire will work)2. register another company in Cayman Islands/BVI, etc. which is the Fund3. set up a manageme...
by HNK
April 1st, 2009, 4:07 pm
Forum: The Quantitative Finance FAQs Project
Topic: What are copulas and how are they used in quantitative finance?
Replies: 85
Views: 304396

What are copulas and how are they used in quantitative finance?

<t>wow.... I was wondering what brought forth this old thread! errr... give it a try, though with the bad name received by some of the methods which you might find in the pre-2007/08 published textbooks, you might be advised to divert your energies in more productive areas. Also, better advise might...
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