SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by SierpinskyJanitor
March 21st, 2012, 9:37 am
Forum: General Forum
Topic: Expected Exposure (EE) and Expected Potential Exposure Shapes
Replies: 9
Views: 29102

Expected Exposure (EE) and Expected Potential Exposure Shapes

<t>Potential Future Exposure (PFE) - the maximum positive exposure estimated to occur on a future date at a high level of statistical confidence. Banks often use PFE when measuring CCR exposure against counterparty credit limits. The most important application of PFE is in OTC derivative contract‟s ...
by SierpinskyJanitor
March 21st, 2012, 9:12 am
Forum: Careers Forum
Topic: New Movie about Wall Street "Margin Call"
Replies: 76
Views: 30914

New Movie about Wall Street "Margin Call"

QuoteTell me, who of you was on the CDO desk during the hot summer 2008?more than you would guess....
by SierpinskyJanitor
March 21st, 2012, 6:55 am
Forum: Careers Forum
Topic: Jobs Forum Salaries (for real....)
Replies: 38
Views: 17779

Jobs Forum Salaries (for real....)

Today´s champion: "Senior Emerging Markets Equity Analyst - Chicago, USA - to $250,000 USD base (DOE)"Analysts on partners' salaries - uau!
by SierpinskyJanitor
March 20th, 2012, 7:48 pm
Forum: Programming and Software Forum
Topic: OCCI + VS2010 + C++/CLI?
Replies: 6
Views: 15127

OCCI + VS2010 + C++/CLI?

you mean "managing" unmanaged C++ code?
by SierpinskyJanitor
March 20th, 2012, 4:13 pm
Forum: Programming and Software Forum
Topic: Worst Apps and Systems ever seen in Finance!
Replies: 28
Views: 17708

Worst Apps and Systems ever seen in Finance!

<t>this thread is getting better, from worst systems we´ve seen, to worst systems we coded ourselves! OK, lemme confess, going back to the Oracle PL-SQL engine, I had to implement a MC pricer for exotic products in PL-SQL.... Jesus!obviously an imposition from the aforementioned cave Troll who happe...
by SierpinskyJanitor
March 20th, 2012, 2:33 pm
Forum: Technical Forum
Topic: CDX valuation
Replies: 9
Views: 16057

CDX valuation

Good luck. If you browse through the Books Forum, you´ll realised someone else posted a similar question, asking for a more recent reference,cheers,Serp
by SierpinskyJanitor
March 20th, 2012, 2:08 pm
Forum: Programming and Software Forum
Topic: Worst Apps and Systems ever seen in Finance!
Replies: 28
Views: 17708

Worst Apps and Systems ever seen in Finance!

<t>a serious contender for Worst FinEng App indeed! However, we must stress that there was in fact a "dedicated" computer. Can we sink any deeper and find even crappier examples of IT in finance? I just remembered another one: a diabolical front-office Excel spreadsheet "locked" by a disgruntled emp...
by SierpinskyJanitor
March 20th, 2012, 2:00 pm
Forum: Book And Research Paper Forum
Topic: Looking to exchange Moorad Choudhry books
Replies: 8
Views: 15181

Looking to exchange Moorad Choudhry books

<t>deepdish7,We will not PM you - lemme send you this rather open message instead:Copyright infringement is a serious matter - there are published authors in this forum you know? This is the worst possible place to announce you can "get rid of drm" and even worse that you "can explain".get real,Serp...
by SierpinskyJanitor
March 20th, 2012, 10:49 am
Forum: Programming and Software Forum
Topic: Worst Apps and Systems ever seen in Finance!
Replies: 28
Views: 17708

Worst Apps and Systems ever seen in Finance!

you mean 2000 in octal right? BTW Devon, care to share some nightmarish SW experiences?
by SierpinskyJanitor
March 20th, 2012, 9:46 am
Forum: Programming and Software Forum
Topic: Worst Apps and Systems ever seen in Finance!
Replies: 28
Views: 17708

Worst Apps and Systems ever seen in Finance!

<t>Howdy Wilmotters,in this thread, we´ll share our worst SW experiences ever in this industry.Here´s the worst I´ve seen: 2 layers - Portfolio VAR for Asset Management - backend&logic entirely written in Oracle PL-SQL, front-end in 2 flavours of Visual Fox-Pro. No control environment, no CVS, n...
by SierpinskyJanitor
March 20th, 2012, 9:40 am
Forum: Programming and Software Forum
Topic: and now C++/CLI?
Replies: 3
Views: 14863

and now C++/CLI?

in the best places, yes. In other banks, some people are still running Var on PL-SQl scripts... ( I have witnessed this myself ) - actually, I´ll spawn a related theread immediately: "Nightmare Systems" - The worst SW ever seen in banks.
by SierpinskyJanitor
March 20th, 2012, 12:53 am
Forum: Careers Forum
Topic: Should/could I move in to finance?
Replies: 46
Views: 18371

Should/could I move in to finance?

yeah, we wonder who else?
by SierpinskyJanitor
March 19th, 2012, 8:17 pm
Forum: Programming and Software Forum
Topic: OCCI + VS2010 + C++/CLI?
Replies: 6
Views: 15127

OCCI + VS2010 + C++/CLI?

Yeah, stop coding in c++/cli - if you love the language you surely hate what those idiots at Ms have done with this port.... use a decent compiler instead and foggedabout c++.net
by SierpinskyJanitor
March 19th, 2012, 4:55 pm
Forum: Careers Forum
Topic: New Movie about Wall Street "Margin Call"
Replies: 76
Views: 30914

New Movie about Wall Street "Margin Call"

Please Sir,it is an honor,best regards,Serp
by SierpinskyJanitor
March 19th, 2012, 4:15 pm
Forum: Technical Forum
Topic: CDX valuation
Replies: 9
Views: 16057

CDX valuation

<t>Dear alwayslearning,we know you must be really excited and that´s fair, but spreading questions all over the forum will not increase the likelihood of receiving any useful feedback. STAY on this thread, please. Furthermore, asking whether members are familiar with "Paul Wilmott on Quantitative fi...
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