SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by frenchX
August 22nd, 2013, 5:32 am
Forum: Brainteaser Forum
Topic: optimal allocation
Replies: 22
Views: 9007

optimal allocation

Do you really want with a 100 % occurence than no one gets killed or does the killing enters your cost function ? (I know I'd be a pitiful hotel manager )
by frenchX
August 22nd, 2013, 5:22 am
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

<t>@ Quartz: I agree to your point that usually (at least for internal project) the scope is always continuously reshaped to stay under budget and so in fact you have very race occurence of overrun. For external (customer purchased power), the budget is a story of pricing and since we are in our sec...
by frenchX
August 21st, 2013, 2:50 pm
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

@Cuch: The goal is simple: Reach the objective in the smallest amount of time and the smallest amount of money for "customer request project". For internal innovation the scope is not so rigid and so the goal is to maximize the value of the output in a given time/cost frame.
by frenchX
August 21st, 2013, 1:43 pm
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

@Edgey: Thanks a lot ! I'd be very interested in reading this paper (and I have to say that it's probably the best approach: the pooling of expert opinions).
by frenchX
August 21st, 2013, 1:14 pm
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

We are a too small production firm to use heavy production related "quality control" tool such as six sigma. I'd say that the biggest production we make is less than 100 units per year (and I talk about production). About R&D project it's 2 prototypes per year I'd say.
by frenchX
August 21st, 2013, 12:16 pm
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

<t>I agree that "industrial project management" is far much older than VaR use in quant finance but what I'm searching to find is a better way to capital budgeting a risk reserve for a R&D project more quantitatively than the raw gut feeling approach. But I agree with you that the naive view of ...
by frenchX
August 21st, 2013, 5:21 am
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

<t>@Rmax: Yes I agree that the cost overrun should be balanced with the expected payoff at completion. It's funny because I "feel" two kinds of risk management. A very "quantitative one" based on scenario modelling, probability modelling for decision and statistical inference and a very "intuitive" ...
by frenchX
August 20th, 2013, 12:05 pm
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

<t>Interesting ! I also have heard of failed project wihich completely screwed the firm. The top management should put in place a kind of "anti sunk cost turn off switch" such as "if the project overrun cost (so more 100% additional cost) is above the initial budget the project is closed".usually th...
by frenchX
August 20th, 2013, 10:53 am
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

<t>Thanks! Indeed I have a job now not in finance but in aerospace and defense.What I'd like to do is to check for "applied R&D project id est new product development" the historical overal cost to budget safely for a new one. But before to do a statistical analysis you need to find a model. I w...
by frenchX
August 20th, 2013, 8:50 am
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

<t>That's indeed a safe and smart way. The question is how do you put quantified probability on your operational risk? What's the worst a loss of 1000 $ with a probability of 10 % or a loss of 1 M$ with a probability of 0.01% ? that's why I'd like to have an idea of the probability of occurence of a...
by frenchX
August 20th, 2013, 5:21 am
Forum: Technical Forum
Topic: Risk measure when you have very few historical data
Replies: 46
Views: 10229

Risk measure when you have very few historical data

<t>Here a simple question. I'm trying to apply coherent risk measure used in quant finance (such as CVaR) in a different context (example for my case industrial project management). My point is: Usually in finance you have tons of historical data to calibrate your CVaR what about if you only have a ...
by frenchX
July 4th, 2013, 12:20 pm
Forum: Off Topic
Topic: wimbledon tennis tournament
Replies: 285
Views: 26477

wimbledon tennis tournament

It's surprising to see that Marion Bartoli reach the final round. Not even sure she lost one set.
by frenchX
July 3rd, 2013, 8:46 am
Forum: General Forum
Topic: The new C Suite Title - Chief Analytics Officer
Replies: 13
Views: 9526

The new C Suite Title - Chief Analytics Officer

I often see also the word "quants" used for naming guys analyzing big data for IT intensive Customer Relationship Marketing stuff (such as Google, Amazon, Facebook). Nothing related to banking.
by frenchX
July 2nd, 2013, 9:02 am
Forum: General Forum
Topic: "If one beer costs a dollar, what does 100 beer cost?", Paul Wilmott on Dutch TV
Replies: 143
Views: 48823

"If one beer costs a dollar, what does 100 beer cost?", Paul Wilmott on Dutch TV

if one beer cost one dollar 100 beers cost you a huge hangover I recently experienced "economy of scale" with a factory. 1 product: unitary price 1600$100 products: unitary price 800$50% less!
by frenchX
June 28th, 2013, 1:04 pm
Forum: Brainteaser Forum
Topic: Find a prime number of the form 123456...n
Replies: 14
Views: 10691

Find a prime number of the form 123456...n

Indeed it was a very smart intuition. So at least it's known that for N<5000 there is no solution to my problem (Primes suck..!)
GZIP: On