<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...
<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...
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!
<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>...
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?
<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 ...
<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 ...
<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...
<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...
<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...