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by Church
June 28th, 2016, 10:33 am
Forum: Technical Forum
Topic: Smoothing/Interpolation of credit spread curve with missing data
Replies: 2
Views: 658

Smoothing/Interpolation of credit spread curve with missing data

<t>Hello,For our risk management system we need full credit spread curves for every combination of asset category and rating.However, the actual market data shows a lot of missing data in comparison of what we need, for example missing terms, missing ratings (BB and lower), etc.What is a sensible wa...
by Church
June 13th, 2016, 8:12 am
Forum: Technical Forum
Topic: Reliability of historical Bundesbank data for risk management purposes?
Replies: 6
Views: 827

Reliability of historical Bundesbank data for risk management purposes?

The concern is indeed that the EMU can have impact on the current behavior and the level of interest rates compared to historical observations.The alternative would be to use Bloomberg data from about the start of the EMU.
by Church
June 12th, 2016, 3:20 pm
Forum: Technical Forum
Topic: Reliability of historical Bundesbank data for risk management purposes?
Replies: 6
Views: 827

Reliability of historical Bundesbank data for risk management purposes?

<t>Hello,The bundesbank website publishes historical data of the german government bond rates, given in the form of Nelson-Siegel-Svensson parameters. The data goes back from 1972. I want to use this data for risk management purposes, meaning fitting a distribution to those rates for a VaR calculati...
by Church
April 5th, 2016, 10:18 am
Forum: Technical Forum
Topic: Adjusting historical credit spread data for risk management purposes
Replies: 3
Views: 1629

Adjusting historical credit spread data for risk management purposes

<t>Hello,I am trying to build a stochastic credit spread model for risk management purposes, based on historical data.What I see in this data is that for example in 2008, for a given rating the spread increased significantly and decreased significantly shortly thereafter. However, at the same moment...
by Church
February 2nd, 2016, 12:02 pm
Forum: Technical Forum
Topic: Real world credit spread model?
Replies: 1
Views: 2005

Real world credit spread model?

Hello,I am looking for a real world stochastic credit spread model that can capture the historical distribution (i.e. fat tails), and can be generated for 1 year forward but also multiple years. Any suggestions?Thanks
by Church
December 11th, 2015, 9:51 am
Forum: Technical Forum
Topic: Stochastic bridge in combination with stochastic volatility and jumps
Replies: 8
Views: 3018

Stochastic bridge in combination with stochastic volatility and jumps

Are these easy to expand to the multidimensional case? All the literature on this focuses on the univariate case.
by Church
December 7th, 2015, 6:56 am
Forum: Technical Forum
Topic: Stochastic bridge in combination with stochastic volatility and jumps
Replies: 8
Views: 3018

Stochastic bridge in combination with stochastic volatility and jumps

<t>The purpose is as follows: given an externally given set of realisations (scenarios) at t=1, generated with a 1-year time step, determine the impact of (amongst others) a dynamic hedging program that is managed on a day-to-day basis.My guess is that something along the lines that outrun suggests ...
by Church
December 4th, 2015, 3:17 pm
Forum: Technical Forum
Topic: Stochastic bridge in combination with stochastic volatility and jumps
Replies: 8
Views: 3018

Stochastic bridge in combination with stochastic volatility and jumps

<t>Hello,For a risk management purpose (so real-world, no risk-neutral) I need a stochastic bridge such as the Brownian Bridge for the Brownian Motion, but then representing a process with stochastic volatility and jumps.The specifics of the stochastic volatility process and jumps are not the most i...
by Church
December 4th, 2015, 3:10 pm
Forum: Technical Forum
Topic: Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded
Replies: 12
Views: 3691

Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded

<t>Thanks for your responses.@ drmwc1: Yes, I have tried that, but it introduces an additional PSD problem (of the weights), it doesn't really work well.@ londoner: no, it more like an 70x70 matrix where for example 50 correlations are fixed.Anyone experience with the method of Qi and Sun in 'A quad...
by Church
November 17th, 2015, 11:53 am
Forum: Technical Forum
Topic: Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded
Replies: 12
Views: 3691

Best method for finding nearest positive semidefinite correlation matrix for large matrices with judgment embedded

<t>Hello,Insurance companies often use large correlation matrices (say 100x100) including lots of correlations (between insurance risks for example) that are set using judgment.The resulting matrices are seldom positive semidefinite (PSD). Applying the standard methods of for example Rebonato and Ja...
by Church
August 26th, 2014, 9:56 am
Forum: Technical Forum
Topic: Longest historical period of implied volatility data available?
Replies: 1
Views: 3790

Longest historical period of implied volatility data available?

Hello,I was wondering what is the longest historical period for which data on implied volatilities is available, and what is the relevant underlying index? Thanks
by Church
June 17th, 2014, 6:08 am
Forum: Book And Research Paper Forum
Topic: What is the best up-to-date book on equity models and hedging?
Replies: 0
Views: 4732

What is the best up-to-date book on equity models and hedging?

Hello,For interest rate models I have the book(s) of Andersen and Piterbarg, providing a complete and up-to-date overview of the relevant interest models and their use in hedging.Is there an equivalent book for equity models? What is your favorite and why? Thanks
by Church
January 14th, 2014, 9:32 am
Forum: Technical Forum
Topic: Hedging long term variable annuities?
Replies: 6
Views: 6353

Hedging long term variable annuities?

<t>Hello,I am wondering what is a reasonable (and practical) approach or what is market practice for hedging the long term exposure of Variable Annuities?There are companies that assume a fixed volatility from year 5 or 10 on, based on historical data, which means that it doesn't show up in the gree...
by Church
September 20th, 2013, 3:31 pm
Forum: Technical Forum
Topic: Smile extrapolation - Benaim et al
Replies: 18
Views: 8725

Smile extrapolation - Benaim et al

Thanks, after looking again the code is clear to me now.
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