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by Siberian
September 30th, 2008, 12:16 pm
Forum: Technical Forum
Topic: can i regress Garch risk?
Replies: 4
Views: 48935

can i regress Garch risk?

<t>imho there is nothing wrong with regressing r(t+1) on sigmahat(t+1), where the latter is out-of-sample forecast of the vol one time-period ahead, s.t. sigmahat(t+1) is not a function of r(t+1), on the surface it does not look like it will violate OLS assumptions;i think the sign of the coefficien...
by Siberian
September 29th, 2008, 6:26 pm
Forum: Technical Forum
Topic: Exp Shortfall
Replies: 2
Views: 48217

Exp Shortfall

<r>if you are using historical, just average out all returns below the VaR.otherwise you can use EVT, which has a closed form solution for eonce you calibrate the alpha parameter - which is decay parameter.Have a look at Christoffersen's book which can be found here <URL url="http://www.amazon.com/e...
by Siberian
September 26th, 2008, 5:32 pm
Forum: Student Forum
Topic: Valuing Goldman Sachs warrants
Replies: 8
Views: 49573

Valuing Goldman Sachs warrants

QuoteOriginally posted by: spursfanthree - but what you really want is an idea of the vol for the next 5 years (Goldman's regulated by the Fed, probably less geared)Bingo spursfan!
by Siberian
September 24th, 2008, 1:58 pm
Forum: Technical Forum
Topic: VBA garch egarch ARMA etc
Replies: 3
Views: 52234

VBA garch egarch ARMA etc

<r>Vainberg's book Options Pricing Models and Vol using Excel-VBA. Christoffersen's book Elements of Financial Risk Management. Very easy read. Both of them can be found here, it's Greg's website:<URL url="http://www.vbnumericalmethods.com/books/You">http://www.vbnumericalmethods.com/books/You</URL>...
by Siberian
September 22nd, 2008, 2:00 pm
Forum: Careers Forum
Topic: Will the profession of "Quant" die?
Replies: 60
Views: 62629

Will the profession of "Quant" die?

I am sorry twofish, are you saying there is less suply of MBAs than PhD in astrophysics? Am i reading you right?Ev
by Siberian
September 16th, 2008, 2:22 pm
Forum: General Forum
Topic: Russia
Replies: 3
Views: 49023

Russia

RTS down 15%, halted trading, opened up, drop another 5% halted again. Fundamentals are still strong even with 90$/barrel, how much more can it drop before fundamentals prevail?
by Siberian
September 15th, 2008, 3:27 pm
Forum: General Forum
Topic: Why is Lehman in a hurry to look for a buyer?
Replies: 16
Views: 51446

Why is Lehman in a hurry to look for a buyer?

my picks are aig and wamu
by Siberian
September 15th, 2008, 1:02 pm
Forum: General Forum
Topic: Why is Lehman in a hurry to look for a buyer?
Replies: 16
Views: 51446

Why is Lehman in a hurry to look for a buyer?

now you have got your answer...
by Siberian
September 12th, 2008, 5:32 pm
Forum: Trading Forum
Topic: Lehman
Replies: 57
Views: 61759

Lehman

<t>QuoteOriginally posted by: mackbarThis is evidence that the government has not turned socialist in the U.S. just yet. (Contrary to some opinions: see thread on Fannie and Freddie bail out in the General Forum.)FNM and FRE have not been suspended either.If BoA does lead on this, will shareholders ...
by Siberian
September 11th, 2008, 8:47 pm
Forum: Trading Forum
Topic: Lehman
Replies: 57
Views: 61759

Lehman

<t>U.S. Government to Arrange Sale of Lehman Brothers By David Cho and Heather LandyWashington Post Staff WritersThursday, September 11, 2008; 5:16 PM The Treasury Department and the Federal Reserve are engineering a sale of Lehman Brothers through a consortium of private firms. The details are not ...
by Siberian
September 11th, 2008, 5:31 pm
Forum: Careers Forum
Topic: Financial mathematics and economics
Replies: 52
Views: 56806

Financial mathematics and economics

<t>QuoteOriginally posted by: amerikanOkey, so what position gives 200 %, and what position gives 20 %? And how do economists (or people in related occupations) get bonuses? I mean, quants get it through playing their cards well (investing right, giving the company more money), but what about econom...
by Siberian
September 11th, 2008, 3:09 pm
Forum: Careers Forum
Topic: Financial mathematics and economics
Replies: 52
Views: 56806

Financial mathematics and economics

<t>QuoteOriginally posted by: amerikan20-200% in bonus? Wow, that's a huge variation. What's normal after, say, 3-5 years? How much does a normal new yorker earn?/Johnmost variation is explained by different jobs and companies. variation from years of experience is much less. wait for new yorkers to...
by Siberian
September 11th, 2008, 3:07 pm
Forum: Trading Forum
Topic: geometric average-variance dispersion
Replies: 1
Views: 49587

geometric average-variance dispersion

sounds like when your payoff is avg realized vol in a basket minus strike vol
by Siberian
September 11th, 2008, 3:00 pm
Forum: Careers Forum
Topic: the next big thing
Replies: 31
Views: 55476

the next big thing

<t>QuoteOriginally posted by: TraderJoeQuoteOriginally posted by: SiberianQuoteOriginally posted by: ChicagoGuyQuoteThose days when credit, structured products, commodities and enhanced indexes are almost done....I think the contrary....credit and structured products are going to become more pupular...
by Siberian
September 11th, 2008, 2:58 pm
Forum: Trading Forum
Topic: Lehman
Replies: 57
Views: 61759

Lehman

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