SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ntruwant
March 9th, 2009, 1:31 pm
Forum: General Forum
Topic: setting risk limits
Replies: 4
Views: 42547

setting risk limits

<t>suppose that I calculate an economic capital on company level at 99.5%.Now I want to create a risk monitoring, with risk indicators by risk type (eg equity risk, intrest rate risk), and I want to put limits on the risk indicators.e.g maximum duration gap, maximum equity Var, ...Is there a way to ...
by ntruwant
January 19th, 2009, 10:49 am
Forum: Book And Research Paper Forum
Topic: Book on ALM Non-Life insurance
Replies: 8
Views: 48559

Book on ALM Non-Life insurance

<t>QuoteOriginally posted by: tibbarYou end up in the situation where the answer any ALM study will provide is simply what goes in - i.e. your expected return and volatility assumptions by asset type. Non-life insurers invest conservatively in short dated fixed income assets, very little in equity.I...
by ntruwant
November 27th, 2008, 9:46 am
Forum: Book And Research Paper Forum
Topic: Book on ALM Non-Life insurance
Replies: 8
Views: 48559

Book on ALM Non-Life insurance

Thanks DavidJN: a good starting point!I am also looking for stuff specifically for non-life insurance and (very) technical: maybe anyone knows good papers?
by ntruwant
November 25th, 2008, 1:29 pm
Forum: Book And Research Paper Forum
Topic: Book on ALM Non-Life insurance
Replies: 8
Views: 48559

Book on ALM Non-Life insurance

HiIt is difficult to find a book within this field. Has anyone got a good suggestion?
by ntruwant
October 28th, 2008, 8:09 am
Forum: Technical Forum
Topic: stochastic credit spreads
Replies: 12
Views: 51045

stochastic credit spreads

thanks stevenm!!I will check them out
by ntruwant
October 27th, 2008, 2:00 pm
Forum: Technical Forum
Topic: stochastic credit spreads
Replies: 12
Views: 51045

stochastic credit spreads

<t>Quote(no offense intended, but I think this question would be more relevant for Wilmott's student forum, rather than the technical forum)correct, I wanted to post this on an other forum, by mistake I put it hereQuoteOriginally posted by: scholarThe term structure of credit spread is obtained as a...
by ntruwant
October 25th, 2008, 7:02 pm
Forum: Technical Forum
Topic: stochastic credit spreads
Replies: 12
Views: 51045

stochastic credit spreads

<t>I do not agree. price risky zero bond = price risk free zero bond x factor. this factor depends on: - recovery rate: non stochastic in JLT- real world probability to go from rating i to default: for a given duration this is always the same probability- risk premium: the same for every t in a new ...
by ntruwant
October 24th, 2008, 8:24 pm
Forum: Technical Forum
Topic: stochastic credit spreads
Replies: 12
Views: 51045

stochastic credit spreads

<t>If I understand the Jarrow Lando Turnbull ’97 (JLT) model correctly, the resulting credit spreads are not stochastic (the risky zero bonds are if the risk free bonds are modeled stochastically). Is there an easy way to make the JLT spreads stochastic: eg stochastic recovery rate, stochastic proce...
by ntruwant
October 6th, 2008, 11:53 am
Forum: General Forum
Topic: Pricing vanilla options with CREDIT risk
Replies: 30
Views: 57606

Pricing vanilla options with CREDIT risk

Hihas anyone got a definite reference (please not a book) for this very interesting problem of taking into account counterparty risk when buying plain vanilla European options on underlying A from a seller B with a certain credit quality?thanks!
by ntruwant
September 30th, 2008, 7:39 am
Forum: Book And Research Paper Forum
Topic: Do you read Steven Shreve - Stochastic Calculus and Financial Applications?
Replies: 15
Views: 56493

Do you read Steven Shreve - Stochastic Calculus and Financial Applications?

QuoteOriginally posted by: Raul85I found the notes on Internet and I didn't trust a lot in the source and in the kind of book (notes rarely are interesting or depth).could you post the link to these notes?thanks
by ntruwant
September 29th, 2008, 7:37 pm
Forum: Book And Research Paper Forum
Topic: Do you read Steven Shreve - Stochastic Calculus and Financial Applications?
Replies: 15
Views: 56493

Do you read Steven Shreve - Stochastic Calculus and Financial Applications?

<r>QuoteOriginally posted by: FaridMoussaouiHi Raul,It's one of the best books on the subject.Please, read the review by Darrel Duffie:A Review of 'Stochastic Calculus for Finance' by Steven E. Shreve, forthcoming, Bulletin of the American Mathematical Society, (2008).<URL url="http://www.stanford.e...
by ntruwant
September 21st, 2008, 11:53 am
Forum: Careers Forum
Topic: Actuary vs quant
Replies: 101
Views: 222902

Actuary vs quant

<t>I totally disagree: in my company the ALM uses advanced software pakages (Prophet, Barry&Hibbert, QRM, Remetrica) for specific areas and there are also actuaries who create C++ engines that are used to price the exotic options.The image that even big insurance companies only use Excel is not ...
by ntruwant
August 18th, 2008, 5:36 pm
Forum: General Forum
Topic: interest rate model for real world simulations
Replies: 11
Views: 53505

interest rate model for real world simulations

come on guys, is there no quant that who knows something about real measures??
by ntruwant
August 14th, 2008, 3:07 pm
Forum: General Forum
Topic: interest rate model for real world simulations
Replies: 11
Views: 53505

interest rate model for real world simulations

<t>HiI am looking at ALM and dynamic financial analysis papers, where one needs an interest rate model to simulate interest rate movements in the real world over long horizons.To my surprise I see the use of CIR, Vasicek, BGM models which are models that work in the risk neutral world for pricing is...
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