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by Buran
August 10th, 2015, 7:13 pm
Forum: General Forum
Topic: S&P LEVELS 7.3 format
Replies: 0
Views: 2628

S&P LEVELS 7.3 format

Can somebody point me to where to donwload S&P LEVELS file format?
by Buran
March 30th, 2015, 7:38 pm
Forum: General Forum
Topic: Annualized Median?
Replies: 13
Views: 5223

Annualized Median?

<t>When you're scaling (annualizing) the mean, you're making some distributional assumptions. For instance, you're assuming that the asset prices generally grow exponentially, so that if you hold on to a security for a year, you're going to get 12 times more return. If you don't assume a drift, you ...
by Buran
March 30th, 2015, 3:44 pm
Forum: General Forum
Topic: Annualized Median?
Replies: 13
Views: 5223

Annualized Median?

We scale VaR, which is a percentile just like the median, with [$]\sqrt t[$] rule. So, intuitively it seems that the median should scale too.
by Buran
March 18th, 2015, 12:41 pm
Forum: General Forum
Topic: Alternative to Nelson-Siegel like parameteric yield curve models with non-negative constraint
Replies: 2
Views: 3616

Alternative to Nelson-Siegel like parameteric yield curve models with non-negative constraint

<t>1. US Treasuries are not negative (except maybe one blip a few years ago).2. When you fit Nelson-Siegel sometimes you may end up with negative rates in the middle of the curve, e.g. 1 year bill or 2 year swap. That never happened.So, I'm looking at the parametric forward curve functional form whi...
by Buran
March 17th, 2015, 9:43 pm
Forum: General Forum
Topic: Alternative to Nelson-Siegel like parameteric yield curve models with non-negative constraint
Replies: 2
Views: 3616

Alternative to Nelson-Siegel like parameteric yield curve models with non-negative constraint

Nelson-Siegel or Svensson yield curve models, and any number of their brothers, it is possible to come to negative forward or par yield rates. What is a reasonable alternative parametric yield curve shapes that would prevent the negative yields?
by Buran
March 17th, 2015, 9:40 pm
Forum: General Forum
Topic: Comprehensive Capital Review and Analysis
Replies: 6
Views: 4310

Comprehensive Capital Review and Analysis

<t>QuoteOriginally posted by: horacioaliagaCCAR requires banks to stress test their portfolios based on proposed variables:For example, how do I perform a stress test scenario on a 1M European Option on USDEUR Spot?We interpolate TSY curve given the three TSY rates, then forecast the spread to libor...
by Buran
February 27th, 2015, 12:22 pm
Forum: General Forum
Topic: Forecasting treasury and LIBOR/swap curves simultaneously
Replies: 3
Views: 3766

Forecasting treasury and LIBOR/swap curves simultaneously

you have almost 3K posts :) can you point to the relevant ones?
by Buran
February 26th, 2015, 1:47 pm
Forum: General Forum
Topic: Forecasting treasury and LIBOR/swap curves simultaneously
Replies: 3
Views: 3766

Forecasting treasury and LIBOR/swap curves simultaneously

<t>I'm looking for references to model treasury and libor/swap curves simultaneously. This is not for pricing, per se, but more of a macro modeling for risk scenarios. Things like Neslon-Siegel and term structure models are all for one curve. I could apply them to treasury, but then what to do with ...
by Buran
March 24th, 2013, 2:39 pm
Forum: General Forum
Topic: Don't understand Central Limit Theorem
Replies: 29
Views: 12335

Don't understand Central Limit Theorem

<t>QuoteOriginally posted by: 60202What I don't get is what's the point of learning this and what's so cool about the CLT? basically, there's no brownian motion without CLT. CLT is one of the most used results in probability theory. what's the point in learning it for CFA? I don't know. maybe there ...
by Buran
March 14th, 2013, 12:50 pm
Forum: General Forum
Topic: trading volume on SPY
Replies: 0
Views: 8217

trading volume on SPY

<t>the volume of trade (# of trades) has been growing past 20 years. is it because of the number of traders increased or because the traders trade more?i know both are happening, but which one's a dominating factor? also does the HFT contribute into volume of trade on exchanges? or do their trades c...