<r>in addition to the "key rate DV01, weighted-least squares" approach in Ab's referenced zip files, I really like this new paper by Jonhn Cochrane on forecasting those key rates, <URL url="http://gsbwww.uchicago.edu/fac/john.cochrane/research/Papers/bondrisknew1.pdfI"><LINK_TEXT text="http://gsbwww...

<t>The only way to evaluate the hypothesis that an 'optimized' merton model is a sufficient predictor of default is data, which isn't easy for most people to get. Note, however, that of over 1400 publicly traded defaulting firms in the post-1980 US data, KMV strangely used only 141 of these in their...

<t>Tobin taxes, first suggested by Keynes as a way to 'throw sand in the gears' and to make investment predominate over speculation, simply has no empirical support. The most convincing demonstration of this is by looking at housing prices, one of the more high-transaction-cost assets. Over 'investm...

<t>Roadkill, you should be a lawyer. Your sophistry is superficially plausible, yet absurd. I'm convinced that most successful traders (i.e., liquidity providers) are lucky in that many people could and would do their jobs for 1/10 the pay. Many of them are given valuable 'seats' that make their pos...

That might have been Brinker International (EAT US), which owns restaraunt franchises like Chili's. They were ready to go that Tuesday, then ... they did the deal Oct. 8

Clearly practioners and academics have their own set of virtues and vices. It's good to have both as each have decreasing marginal returns to society and one's attention span--they're complements, like women and beer.

<t>A public debate wouldn't be fun without some exageration...Only a boring academic would enjoy a debate entitled "This House Believes That Some, and Potentially Many, Successful Traders Have Been Overwhelmingly Impacted by Fortunate Improbable Events." Greed seems to me like courage: potentially a...

<t>I think you would have to qualify that somewhat. Most successful traders are not fools with no skill whatsoever; even famed internet hucksters Mary Meeker and Henry Blodget (who were geniuses when the internet bubble grew and are now forgotten after the collapse), were very clever in their rhetor...

<t>two quotes from Bohr are relevant:'Anyone who says they understand quantum mechanics doesn't understand quantum mechanics''Our task is not to penetrate the essence of things, the meaning of which we do not know anyway, but rather to develop concepts which allow us to talk in a productive way abou...

<t>I think Dynamic Hedging is such a good book because there are so few good books by practioners. I think there are so few good practioner books because:1) good traders have too high an opportunity cost to write good books when they are still intellectually active2) many 'good' traders are really j...

<t>numbersix, I think you might be on to something. I find that most report median spreads, presumably because the a few distressed issues can wreck arithmetic averages. I take averages for only issues with spreads below 2000 bps above libor. This generates an unfortunate dichotomy in that I generat...

<t>I'd like the 'inside scoop' on Convertible bond software. I'd especially be interested in anything nasty, as the companies are very good at highlighting their good features but make you work to find their flaws. For example, Monis has great 'feature' coverage, but within it's tree model it assume...

<t>Philosophy is fun (I recommend Compte-Sponville's latest book on Virtues), but can be very dangerous to one's professional life if you bring it there. I remember some famous physicyst saying that any grad student's who developed an excessive preoccupation with the interpretation of quantum theory...

The relation to biology is clearly apt. Abraham Flexner wrote that up to 1910 a (Western) patient had a 50-50 chance of benefiting from a visit to a physician. I don't know if that would put modern finance at around 1900 or 1920 level of biological expertise...

<t>Does anyone have an opinion as to why there are relatively few Economic PhDs in the financial quant field relative to physicysts, etc.? In the US, economics PhDs are sufficiently quantitative, and the familiarity with the broad subject matter, as well as nonstationary and limited datasets should ...