Expected Shortfall is usually defined as:Also, is typically defined through the percentile .Putting it all together:

rmeenaks,I owe you a Thanks

<t>QuoteOriginally posted by: macca9Hi,Was hoping someone could upload or shoot through to me via pm Hull and White's 1994a paper ("Numerical procedures for implementing term structure models I: Single-Factor Models,'' Journal of Derivatives, 2, 1 (Fall 1994a) 7- 16).Can't find it in the public doma...

Nope. All real jobs seem to be on workopolis.com and monster.ca. Just apply yourself.I have contacted a few HH's in Toronto, they were totally useless.

<t>QuoteOriginally posted by: lesliejinyuthe problem is that the EMM is not unique, or equivalently the price of risk is not uniquely determined. i am not from industry, so i could only provide the idea from academic point of view as follows:set up a general equilibrium model with representative age...

Give yourself plenty of time, bro. You will laugh at their math, but there is a lot more to it. 2007 Level I 6 books weigh 7.9 kg, in paperback! And you will have to read a couple more textbooks unless you are already really good at Economics and Accounting.

<t>QuoteWhen you integrate by parts, you obtain a term that is f(x) * exp(ix y) and this term vanishesat + en - infinity.I guess, it has more to do with the properties of f(x). It is probably constrained to vanish at x = +- infinity. At least it must vanish there for Riemann-Lebesgue lemma to apply....

<t>See if this helps. They compare CFA to MBA though.Compensation surveyI personally know a few people enrolled in CFA program, including myself. They are all quite happy about it. Try asking actual CFA Charterholders. Also I heard of a math. Ph.D. who stopped putting Ph.D. Math on his business card...

<t>Quoteeven in that case the formula is only for zeros.Any arguments, like, at all?Here is a simple example. You buy a bond at par = $100 and it pays an yearly coupon c ( > 0, mind you!). What is the effective rate r and how is it related to the FV assuming that you reinvest all the coupons at the ...

<t>Quotewhy do u think it's a zero?I do not think that the coupon rate is zero. I assume that the coupons can be reinvested at the original rate, which is a flawed but standard assumption when simple bond questions are asked. brownie74 asked a question which is not simple. The honest answer to it is...

<t>brownie74,how was the question originally formulated? Why do you need to get rid of a bond, to do what? Reinvesting the money back in bonds makes no sense as I view it, you will only be worse off if you want the same expiration. Do you have any expectations of the future, will the rates continue ...

<t>Is anybody aware of how Waterfront International in Toronto works?Since I started looking last fall, they have open positions advertised everywhere and ALL THE TIME. Exactly the same wording on every job website. Can't they just get enough, or do they fire faster than they hire? Neither makes sen...

<t>I don't think you need to know the coupon rate if the yields you list are the yields to maturity (r). Assuming that and assuming there is no default risk, you know for sure the FV of the bond at maturity = 100,000 (1+r)^T, where T = 3, 5 or 10. Today the value of the bond is 100,000 (1+r)^T / (1+...

<t>Shouldn't he be writing a Resume as opposed to a CV?There are (not so) subtle but important differences between the two styles.I know several former CM theorists who have switched to finance and risk management in various countries. However, they all have pretty good programming skills and were i...

<t>Well, if you google virtual assignment operator, it becomes clear that some people have given it a thought. I was wondering whether it was worth exploring at all. One problem that seems obvious is that if you declareBase *pa (new Derived);Base *pb (new Derived);than mere *pa = *pb is disastrous s...