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by RealIllusion
June 29th, 2007, 1:57 pm
Forum: General Forum
Topic: Close-out risk. Help asap needed
Replies: 3
Views: 71626

Close-out risk. Help asap needed

<t>Are you referring to the close-out component of credit risk, which comes into play when a counterparty defaults? If a bank has a number of open trades with a defaulting counterparty, some of these trades will probably have positive exposure, i.e. there is value in the trades and the bank will los...
by RealIllusion
March 12th, 2007, 2:03 pm
Forum: General Forum
Topic: Yield curve shape in Cox Ingersoll Ross model
Replies: 0
Views: 76776

Yield curve shape in Cox Ingersoll Ross model

<t>According to the section on the CIR model in Hull's well known tome, "the general shape of the term structure at time t is independent of r(t), but does depend on t". (Here r(t) is the risk-neutral short rate at time t.) However, it seems to me that the entire yield curve structure in CIR is dete...
by RealIllusion
September 13th, 2006, 2:23 pm
Forum: Careers Forum
Topic: Compensation history & DOB
Replies: 3
Views: 92904

Compensation history & DOB

<t>An HH has contacted me with a number of attractive looking opportunities he wants to put me forward for. However, he says he can't proceed unless I send him 4 years salary history, as well as my date of birth (which isn't on my CV). He claims that this info is a prerequisite for the HR depts to c...
by RealIllusion
March 27th, 2006, 3:38 pm
Forum: Off Topic
Topic: I'm losing faith in physicists
Replies: 116
Views: 117596

I'm losing faith in physicists

<t>N,FYI, quantum cryptography has got nothing to do with quantum computation. They are completely separate and independent processes. Quantum computation uses the resource of entanglement to provide an exponential speed-up for solving certain specific problems, in particular the factoring of large ...
by RealIllusion
March 27th, 2006, 9:45 am
Forum: Off Topic
Topic: I'm losing faith in physicists
Replies: 116
Views: 117596

I'm losing faith in physicists

<t>There seems to be a lack of understanding of the Uncertainty Principle on this thread. The Uncertainty Principle is based on practical considerations - have a look at Heisenberg's original paper, which makes no mention of Hilbert Space. If the Uncertainty Principle is crap, why do you think that ...
by RealIllusion
February 8th, 2006, 2:14 pm
Forum: Careers Forum
Topic: Headhunters don't like over-40 job seekers?
Replies: 43
Views: 192999

Headhunters don't like over-40 job seekers?

Imerli, I think you have forgotten that Schrodinger was 38 or 39 when he first published his eponymous equation, not 43. Not that it matters, of course.
by RealIllusion
January 30th, 2006, 10:15 am
Forum: Careers Forum
Topic: Why DID you want to choose "hard science"?
Replies: 8
Views: 120711

Why DID you want to choose "hard science"?

htmlballsup, please reveal the name of your teacher, and the nature of his prediction regarding the reconciliation of qm and relativity.
by RealIllusion
October 26th, 2005, 1:27 pm
Forum: Book And Research Paper Forum
Topic: Who can fwd me Kupiec 95?
Replies: 2
Views: 156972

Who can fwd me Kupiec 95?

Hi, I am trying to get hold of Kupiec's 1995 paper "Techniques for Verifying the Accuracy of Risk Measurement Models", can anyone help?(Pls ignore my recent post in the Student forum which was placed there by error).
by RealIllusion
October 26th, 2005, 1:23 pm
Forum: Student Forum
Topic: Article of Paul Kupiec on VaR
Replies: 4
Views: 190687

Article of Paul Kupiec on VaR

I'm also trying to get hold of Kupiec's 1995 paper, which doesn't seem to be downloadable from the web. Can anyone help? Would be much appreciated
by RealIllusion
July 5th, 2005, 8:09 am
Forum: Careers Forum
Topic: Quant/model val. jobs outside london but in England?
Replies: 12
Views: 144002

Quant/model val. jobs outside london but in England?

Southampton?? please elaborate, player. are you aware of any specific quant activity/opportunities in the Southampton area?
by RealIllusion
June 20th, 2005, 9:35 am
Forum: General Forum
Topic: standard deviation of a function of two variables
Replies: 1
Views: 144704

standard deviation of a function of two variables

I'm wondering if anyone has a quick answer to the following question: Suppose we have two random variables x and y, with probability distributions f(x) and g(y), and a consider a function h(x, y) of x and y. Is there a general formula for the standard deviation of h in terms of x and y?
by RealIllusion
June 7th, 2005, 9:01 am
Forum: Brainteaser Forum
Topic: Relativistic game based on the twin paradox
Replies: 31
Views: 152087

Relativistic game based on the twin paradox

<t>The simplified answer is that only one party feels the acceleration and deceleration, that is the person who ends up younger.Actually it is possible to formulate the twin paradox without involving any acceleration. Suppose that we have two astronauts A, and B, in separate rockets and both moving ...
by RealIllusion
June 6th, 2005, 9:47 am
Forum: Off Topic
Topic: Housing bubble or "froth"?
Replies: 33
Views: 149361

Housing bubble or "froth"?

<t>In London and the South of England currently, a typical ratio of property price to monthly rent on an equivalent property is 250 +. For example, a farly ordinary flat in London will cost £250k whereas monthly rent on a similar flat could be £1000. To get to DrBen's suggested ratio of 100 would re...
by RealIllusion
June 6th, 2005, 9:26 am
Forum: Brainteaser Forum
Topic: Another coin flipping game
Replies: 24
Views: 149093

Another coin flipping game

I don't have an analytical solution to this, but playing around on a spreadsheet indicates that two tails in a row is about 11 times more likely to occur first than five heads in a row. Hence I would say that Andy's expected value is approximately $[ (11/12)*(-3) + (1/12)*24] = minus 75 cents.
by RealIllusion
November 23rd, 2004, 10:34 am
Forum: General Forum
Topic: Current Value of Forward Price of Bond with Credit Spread
Replies: 3
Views: 170018

Current Value of Forward Price of Bond with Credit Spread

<t>Aaron, many thanks for your reponse. I'm aware that, in order to obtain the forward price, we have to compound forward the spot price minus income, with compounding done at LIBOR. However, what I'm looking for is the current value of this forward price. To obtain this we discount the forward pric...
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