SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by ntruwant
August 2nd, 2008, 7:10 am
Forum: General Forum
Topic: Who actually do econometrics?
Replies: 18
Views: 53461

Who actually do econometrics?

econometrics are certainly used in the credit risk part of Basel 2: logistic regression or neural networks for scoring models, ant algorithm, SUR for economic capital, ARMA processes
by ntruwant
July 30th, 2008, 10:32 am
Forum: Careers Forum
Topic: Actuary vs quant
Replies: 101
Views: 222902

Actuary vs quant

<t>QuoteOriginally posted by: ChurchI think the comparison between actuaries and quants is not very useful. I think it's more a mather of personal taste:1) What is boring for someone, could actually be interesting for someone else (how on earth would it otherwise be possible that someone becomes an ...
by ntruwant
July 21st, 2008, 5:21 pm
Forum: Careers Forum
Topic: Actuary vs quant
Replies: 101
Views: 222902

Actuary vs quant

<t>QuoteOriginally posted by: onedollarQuoteOriginally posted by: hongjiren2000What do people think of the MSc (Actuarial Science) offered by the University of Leicester by distance learning? Is this a highly rated research university in the UK?MSc in Act Sci is useless. all you need is to write the...
by ntruwant
July 3rd, 2008, 1:20 pm
Forum: Careers Forum
Topic: Financial mathematics vs mathematical economics
Replies: 7
Views: 53351

Financial mathematics vs mathematical economics

Math economics are, I think, only used at universities or planning bureaus, they are rarely used by banks/insurers (maybe the very very big ones)
by ntruwant
July 3rd, 2008, 1:14 pm
Forum: General Forum
Topic: good asset allocation models?
Replies: 16
Views: 55308

good asset allocation models?

<t>I ask the question within the context of Dynamic Financial Analysis for an insurance company. I have found a study that concentrates on the Wilkie model for the assets, but the model is very concentrated on the UK market.I wonder how medium size insurers, that don't have an entire econometric dep...
by ntruwant
June 28th, 2008, 2:23 pm
Forum: Careers Forum
Topic: Actuary vs quant
Replies: 101
Views: 222902

Actuary vs quant

to add a little oil on the fire: I am 31, actuary and have just been appointed a CRO function
by ntruwant
June 28th, 2008, 2:17 pm
Forum: Book And Research Paper Forum
Topic: papers to estimate PD and LGD in emerging markets
Replies: 2
Views: 52063

papers to estimate PD and LGD in emerging markets

expert models, with parameters calibrated to the specific country
by ntruwant
June 28th, 2008, 2:13 pm
Forum: General Forum
Topic: good asset allocation models?
Replies: 16
Views: 55308

good asset allocation models?

come on guys: it's not possible that nobody knows an answer: do you use capm, apt, Wilkie model, ... in practise to determine longterm investments of the company?
by ntruwant
June 21st, 2008, 2:20 pm
Forum: General Forum
Topic: control sample for logistic regression forecasting
Replies: 10
Views: 54384

control sample for logistic regression forecasting

<t>What you have to do is "oversampling": je keep all data on bankrupted banks an d give the non-bankrupted banks a sample weight such that they represent for example 95% of the population.Then you run your logistic regression and after this you correct the intercept of the regression such that the ...
by ntruwant
June 18th, 2008, 5:34 am
Forum: General Forum
Topic: good asset allocation models?
Replies: 16
Views: 55308

good asset allocation models?

I am wondering how an insurance company or a bank decides to invest the part of their revenues in shares, the part in bonds, ... and after this: which shares, which bonds,..are there any models to assist in this exercise?
by ntruwant
June 14th, 2008, 9:02 am
Forum: General Forum
Topic: good asset allocation models?
Replies: 16
Views: 55308

good asset allocation models?

can anyone recommend any good asset allocation models?Thanks!
by ntruwant
June 4th, 2008, 7:58 pm
Forum: Careers Forum
Topic: Actuary vs quant
Replies: 101
Views: 222902

Actuary vs quant

<t>you seem to forget that good actuaries have the possibility to become chief risk/investment/executive officer: think their salary is higher than the quant's!In Belgium courses on stochastic processes and advanced fin. maths are in the curriculum of the actuary: for me quants can become actuaries ...
by ntruwant
June 4th, 2008, 7:50 pm
Forum: Book And Research Paper Forum
Topic: next reading step
Replies: 1
Views: 53585

next reading step

hi, I have read:- Hull- Steele: Stochastic calculus- Joshi: Concepts and practise- Topper: Financial EngineeringWhat's the next step? Maybe Wilmotts "Paul Wilmott on quantitative finance"?
by ntruwant
January 8th, 2008, 5:57 pm
Forum: Programming and Software Forum
Topic: good C++ learning strategy?
Replies: 19
Views: 62768

good C++ learning strategy?

what about Eckel: Thinking in C++ ?
by ntruwant
January 1st, 2008, 11:33 am
Forum: Programming and Software Forum
Topic: good C++ learning strategy?
Replies: 19
Views: 62768

good C++ learning strategy?

I took the London book because I found a free pdf version on the net, but apparantly opinions about it are very mixed.It is probably true that you'll learn most starting from scratch and programming everything yourself, but it looks quite time consuming too.Thanks for the advice!
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