SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 78 matches

by riskguru
April 16th, 2010, 4:09 pm
Forum: General Forum
Topic: My incompetent professor part 2
Replies: 40
Views: 42959

My incompetent professor part 2

<t>Not sure what you mean by the expected forward rate? You are observing it (the term structure) as of today and can trade it. The issue under debate is what determines this forward rate (e.g. CIP) and whether it is reflecting the markets expectation of a future spot rate. My observation on at leas...
by riskguru
April 14th, 2010, 3:44 pm
Forum: General Forum
Topic: My incompetent professor part 2
Replies: 40
Views: 42959

My incompetent professor part 2

<t>Let me take another crack at the "yes it does" "no it does not" debate here. Covered interest rate parity is a no arbitrage condition. Any no arbitrage condition is conditional on well functioning markets that allow the arbitrage to be costlessly executed by enough participants (it does not have ...
by riskguru
April 7th, 2010, 3:48 pm
Forum: Careers Forum
Topic: What exactly is a "Job market paper" (for post-doctoral positions)
Replies: 7
Views: 30110

What exactly is a "Job market paper" (for post-doctoral positions)

<t>Most academic recruitment processes would require a candidate to visit the school. While there they would generally meet with the faculty and present a paper at the department seminar. That is typically what the job market paper represents (it is the paper you present while there). Normally this ...
by riskguru
March 4th, 2010, 3:32 pm
Forum: Technical Forum
Topic: Which is the supperior VaR calculation?
Replies: 8
Views: 31956

Which is the supperior VaR calculation?

Depending on the time series model you postulate, there is a link between daily and monthly vol (which need not be as simple as sqrt(N)). All I am saying is that you should calculate the monthly vol accordingly.
by riskguru
March 3rd, 2010, 4:37 pm
Forum: Technical Forum
Topic: Which is the supperior VaR calculation?
Replies: 8
Views: 31956

Which is the supperior VaR calculation?

<t>QuoteOriginally posted by: iamorlandoThanks for your replies,But isnt there a loss of information when using monthly returns? Also, isn't there more uncertainty in the return from any given day than in the monthly return? This leads me to believe daily scaled daily VaR is better than monthly VaR....
by riskguru
December 22nd, 2009, 5:15 pm
Forum: Careers Forum
Topic: Working like Dogs
Replies: 60
Views: 37916

Working like Dogs

More due to a very early start with a reasonable finish with decent family time Not much remaining for naptime!
by riskguru
December 18th, 2009, 4:48 pm
Forum: Careers Forum
Topic: Working like Dogs
Replies: 60
Views: 37916

Working like Dogs

<t>I think the notion that number of hours at work translates into how hard you are working is fundamentally flawed. I have worked at a large IB where people would keep these hours, surf the Net, hang out till they could order dinner that they would be reimbursed for and then stay till they could ta...
by riskguru
November 19th, 2009, 4:31 pm
Forum: Careers Forum
Topic: Buy-side risk management - advise
Replies: 13
Views: 34909

Buy-side risk management - advise

<t>It definitely depends on the PM/strategy. However, I have also noticed that the long only world tends to have a much more of a quantitative bias and also a lot more PhDs or wannabe PhDs (perhaps because so much of the focus is on VaR, tracking error etc). Probably somewhat true for fund of funds ...
by riskguru
November 18th, 2009, 4:50 pm
Forum: Careers Forum
Topic: Buy-side risk management - advise
Replies: 13
Views: 34909

Buy-side risk management - advise

<t>QuoteOriginally posted by: emhyou are not at all too old to move to the buy side for risk management or other roles. Risk management could vary from firm to firm. It's quite boring in big buy side firm, in big firms it more or less boils down to risk reporting. Where as in some quant firms it cou...
by riskguru
November 12th, 2009, 4:18 pm
Forum: Technical Forum
Topic: implied covariances estimate
Replies: 9
Views: 33257

implied covariances estimate

This obviously only works if the residuals are uncorrelated across the regressions.
by riskguru
October 27th, 2009, 3:57 pm
Forum: Careers Forum
Topic: Escape from the risk management ghetto
Replies: 56
Views: 42756

Escape from the risk management ghetto

<t>It seems to me that part of the problem is that you are doing risk at a large bank where responsibilities are very partitioned/siloed, making it hard to plan for career growth. If you think you know risk/quant/trading go try to work for a hedge fund. Most will not have the patience to train you b...
by riskguru
August 27th, 2009, 1:52 pm
Forum: Careers Forum
Topic: PhD-Finance in US : Feedback on schools
Replies: 23
Views: 38254

PhD-Finance in US : Feedback on schools

<t>The typical placements tend to be one leg down from where the school currently is. There are exceptions and if you see them in multiple placements it generally indicates a turnaround or heightened interest in something the program specializes in. I remember seeing this a long time ago when market...
by riskguru
August 27th, 2009, 1:47 pm
Forum: Careers Forum
Topic: PhD-Finance in US : Feedback on schools
Replies: 23
Views: 38254

PhD-Finance in US : Feedback on schools

Madison is a great town (except in winter which can be an awfully long time!)
by riskguru
August 26th, 2009, 5:44 pm
Forum: Careers Forum
Topic: PhD-Finance in US : Feedback on schools
Replies: 23
Views: 38254

PhD-Finance in US : Feedback on schools

<t>I think Michigan/Broad is Michigan State which is not as good as University of Michigan at Ann Arbor (IMHO). If you planning on staying on in academia you want to take a look at where graduates from these schools got placed recently. Gives you a good sense of how the rest of the market regards th...
by riskguru
August 14th, 2009, 3:25 pm
Forum: General Forum
Topic: VAR backtesting
Replies: 7
Views: 38217

VAR backtesting

If the traders are not taking enough risk that would presumable get picked up in the VaR right??
GZIP: On