SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by SanFranCA2002
October 25th, 2002, 3:50 pm
Forum: Student Forum
Topic: Any Chicago or CMU folks here ?
Replies: 11
Views: 190130

Any Chicago or CMU folks here ?

<r>There is a lot of information for free out there, but it is usually in the form of articles targeting particular issues. You seem to want a complete overview like a textbook would provide. For that, you kind of need to buy some textbooks. I think if you threw a couple of hundred dollars at this, ...
by SanFranCA2002
October 23rd, 2002, 10:05 pm
Forum: General Forum
Topic: equity premium puzzle
Replies: 24
Views: 191944

equity premium puzzle

<r>Also if you go to <URL url="http://www.aimr.com">www.aimr.com</URL> and choose the Equity Risk Premium Forum in the middle of the page, there is a downloadable series of papers and discussions from people such as Martin Leibowitz and Jeremy Siegel and Bob Shiller from November of last year on thi...
by SanFranCA2002
October 23rd, 2002, 3:47 pm
Forum: Student Forum
Topic: Help needed with the course of study
Replies: 15
Views: 190694

Help needed with the course of study

You might also look at the papers at www.defaultrisk.com especially for credit default swaps and other risky debt and pricing. There is a large collection and most are free to download.
by SanFranCA2002
October 17th, 2002, 7:43 pm
Forum: General Forum
Topic: Construction of passive portfolio
Replies: 6
Views: 189604

Construction of passive portfolio

<t>Since no one has answered this yet, I will take a shot at it. In a previous life I created indexed fixed income strategies for pension funds and high net worth individuals. The possible ways you ask about depend upon the amount of money you are looking at and the goals of the investor. If there w...
by SanFranCA2002
October 9th, 2002, 3:45 pm
Forum: General Forum
Topic: Value-at-Risk calculations
Replies: 13
Views: 190638

Value-at-Risk calculations

<t>Mano: For us, the answer to your post is yes. For the accuracy issue, see RowdyRoddyPiper's post above. In another model I run, we do a var for posting collateral on derivatives but the accuracy is somewhere between suspect and ridiculous. Basically we take principal components and Monte Carlo th...
by SanFranCA2002
October 9th, 2002, 2:30 pm
Forum: General Forum
Topic: Value-at-Risk calculations
Replies: 13
Views: 190638

Value-at-Risk calculations

<t>Thank you gentlemen. You all contributed information that is useful to me. In answer to the question about the bond pricing source and its impact on the asset swap spread, we tried a couple of sources. Initially we recognized some Bloomberg prices were not reasonable, then decided to try BONY. Th...
by SanFranCA2002
October 8th, 2002, 9:03 pm
Forum: General Forum
Topic: Value-at-Risk calculations
Replies: 13
Views: 190638

Value-at-Risk calculations

Getting closer. The missing part of the puzzle is what the shock is. Where would you get the standard deviation with which to shock the inputs?
by SanFranCA2002
October 8th, 2002, 8:29 pm
Forum: General Forum
Topic: Value-at-Risk calculations
Replies: 13
Views: 190638

Value-at-Risk calculations

<t>The cds var is the one I am having much more trouble with. These are all high grade so the probability of default in 10 days (the Basle var horizon) is basically zero. I only have monthly numbers for a few months for these cds, but I need to do a 10 day var on them. That was why I was hoping to u...
by SanFranCA2002
October 8th, 2002, 6:24 pm
Forum: General Forum
Topic: Value-at-Risk calculations
Replies: 13
Views: 190638

Value-at-Risk calculations

<t>Has anyone got suggestions for modeling VAR for (1) credit default swaps and (2) high yield bonds? I tried using asset swap spreads as a surrogate for cds per Duffie (1999) but got really poor results. While cds is a pure default number, asset swap spreads include all sorts of tax and liquidity i...
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