<t>What is the best way to get the historical balance sheet, income statement, cashflow stament, PE, projected PE, projected growth etc. of publicly traded companies? Say for American companies in NYSE, Nasdaq, Amex. Can I find this data for free? Is there a site I could download this data from?Let ...

<r>I believe you can find the presentation here:<URL url="http://www.ieor.columbia.edu/seminars/financialengineering/2006-2007/spring/Bossu_Sebastian/seminar.htmlhttp://www.ieor.columbia.edu/pdf-files/Bossu_S.pdf"><LINK_TEXT text="http://www.ieor.columbia.edu/seminars/f ... ossu_S.pdf">http://www.ie...

It would be unwise to set the credit limits based on PD (Probability of Default). It is best if you compare both EL (Expected Loss) and EC (Economic Capital) assigned to the positions, and finally set the limits based on your risk appetite.

<t>What is the Capital employed and what is the leverage? We need to know what your transactions would look like. I think you may assume 0.5 cents per share (or less), 2 cents slippage if you're using intraday data, up to 0.25% slippage if you're using end of day data. Also if capital and leverage a...

<t>15-20% year is excellent for a market-neutral strategy? Question is whether you actually need a total of about 200 stocks, whether you can reduce the number to 50 (25 long/25 short). This way you would reduce transaction costs. Just an idea, because there needs to be an optimal size on number of ...

<t>In the credit risk management of a derivatives portfolio when one takes into account economic losses only due to counterparty defaults, then it looks like that one can calculate the EPE (Expected Positive Exposure) with each counterparty in the portfolio and then use the approximation that the EP...

<t>In the credit risk management of a derivatives portfolio when one takes into account economic losses only due to counterparty defaults, then it looks like that one can calculate the EPE (Expected Positive Exposure) with each counterparty in the portfolio and then use the approximation that the EP...

<t>If my institution has a derivatives agreement with another counterparty (for simplicity I will assume that the derivative is a European type with a single payoff at expiration and the two institutions have only one contract between them and make my statements accordingly) then at expiration if my...

<t>Could you please guide me in the subject of "Credit Risk of Derivative Products", especially from the perspective of a Risk Manager? What are the best methodologies and algorithms to measure the credit risk of a derivatives portfolio of a bank? Which books and research papers are the best, and so...

Correct me if I am wrong, but at Goldman Sachs a similar group (with more quants such as Emanuel Derman) is called "Quantitative Strategies", which is broad enough to cover many bases. Why don't you use a similar name?

<t>My bank, an emerging markets bank, has issued X% Step Up 10 Year Subordinated Callable Notes. I have the offering circular in my hand. I would like to calculate whether it is correctly priced, or better yet what the current pricing implies. Could you guide me in valuing the subordinated callable ...

Could anyone explain the dispersion trade to me? How it is entered (and closed of course), how and why it exposes one to correlation risk?Thank you. Mehmet