SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by riskguru
August 7th, 2009, 3:38 pm
Forum: Careers Forum
Topic: Becoming quant after 1 year in academia in B-school
Replies: 27
Views: 39464

Becoming quant after 1 year in academia in B-school

<t>I see nothing wrong with a tenure track faculty member changing their mind prior to getting tenure and leaving to do something else. By having the university process your greencard (vs. H1 for example) I do think you are making a professional commitment that is longer than one year! Moreover, the...
by riskguru
July 10th, 2009, 3:40 pm
Forum: Careers Forum
Topic: Model Validation
Replies: 9
Views: 38274

Model Validation

<t>The stress level in model validation really depends on whether you are in the line of fire when you identify a problem (assuming you are not validating models that are always great). Esp. with profit centers (as opposed to validating market risk models) pointing out limitations in models that sho...
by riskguru
June 30th, 2009, 3:27 pm
Forum: General Forum
Topic: FSA: It's Worse Than I Feared - Paul Wilmott blog 24 June 2009
Replies: 31
Views: 42001

FSA: It's Worse Than I Feared - Paul Wilmott blog 24 June 2009

<t>This is a nice story to tell, but reminded me more of the debate that was taking place a few years (?) ago on the Monty Hall/Marilyn vos Savant (?) issue. Will not dredge through the details (too easy to Google), but in that case the whole debate hinged on whether or not the first door opened was...
by riskguru
May 14th, 2009, 4:15 pm
Forum: Careers Forum
Topic: is age a problem??
Replies: 13
Views: 40837

is age a problem??

<t>In my experience there are two separate issues, first will people be willing to hire me and second will I be able to cope. From personal experience, I had no trouble moving into an investment bank at the ripe old age 37 (after retooling myself). The harder part was getting the balance right while...
by riskguru
February 13th, 2009, 4:38 pm
Forum: General Forum
Topic: Crisis quick fix
Replies: 64
Views: 46603

Crisis quick fix

Does this argument not suggest we should ban trading from the long side as well? It caused the Internet bubble, it cased the rapid expansion we saw over the last few years, why pick on the short side?
by riskguru
January 8th, 2009, 5:02 pm
Forum: General Forum
Topic: Financial Modelers' Manifesto
Replies: 126
Views: 77537

Financial Modelers' Manifesto

<t>I think there are two separate issues when people point fingers at models and claim they are not working. The first is associated with the simplifying assumptions that are made to keep the model tractable. I totally agree that understanding the limitations imposed by these simplifications and com...
by riskguru
December 24th, 2008, 4:34 pm
Forum: General Forum
Topic: Carry trade is a synthetic short gamma trade?
Replies: 8
Views: 47507

Carry trade is a synthetic short gamma trade?

Risk/merger arbitrage is typically cited as another example of a structurally short gamma trade. Similar P&L profile of small gains interrupted by a sudden big loss
by riskguru
October 2nd, 2008, 4:51 pm
Forum: General Forum
Topic: faulty reasoning in hedge fund performance?
Replies: 26
Views: 51921

faulty reasoning in hedge fund performance?

<t>I think the translation of "absolute returns" to "always make money" exists in a lot of people's minds, but was not what was ever intended. Absolute returns was used as a term to distinguish it from relative returns which is what the bulk of the long only community focuses on. The same way that f...
by riskguru
July 25th, 2008, 4:11 pm
Forum: Careers Forum
Topic: fund of HFs
Replies: 18
Views: 53933

fund of HFs

<t>QuoteOriginally posted by: acastaldoAs an investor I do not like FOF because they take an extra level of fees on my money for ill-defined services.As a hedge fund manager I do not like FOF because I think they represent hot-money that will disrupt my fund by coming in/leaving at the wrong time. A...
by riskguru
June 4th, 2008, 3:59 pm
Forum: General Forum
Topic: Pricing vanilla options with CREDIT risk
Replies: 30
Views: 57371

Pricing vanilla options with CREDIT risk

<t>QuoteOriginally posted by: numbersixGuys, I don't get it.Why are you still debating when I have offered the definitive answer? (See below)(Of course, there are two separate issues: 1) default of the underlying 2) default of the counterparty; but I have addressed this).Upon more closely reading yo...
by riskguru
June 3rd, 2008, 3:40 pm
Forum: General Forum
Topic: Pricing vanilla options with CREDIT risk
Replies: 30
Views: 57371

Pricing vanilla options with CREDIT risk

<t>I think there are two separate issues that are getting mixed up here. There is the credit risk of the issuer and the credit risk of the counter party. Say you buy Google OTC options from Morgan Stanley. The issue is how do you deal with Morgan Stanley risk (assuming no collateral etc). The approa...
by riskguru
May 1st, 2008, 3:22 pm
Forum: Student Forum
Topic: Help on delta hedging the incentive fees
Replies: 2
Views: 55082

Help on delta hedging the incentive fees

<t>The S&P vol is an input but I don't think it is what you should directly put in. If you estimated NAV=beta*S&P + epsilon, your vol should be for NAV, which reflects S&P vol (VIX being a proxy) but also needs to take the idiosyncratic vol (estimated as part of your regression ) into ac...
by riskguru
September 14th, 2007, 3:31 pm
Forum: Careers Forum
Topic: Fund Of Funds VS Market Risk
Replies: 23
Views: 69428

Fund Of Funds VS Market Risk

<t>I totally agree on the FoF characterization. It is a place to go when you are ready to retire, not when you are starting off! The only cautionary note that I would give on market risk is that it really depends on the bank/broker. There are places where it can be intellectually challenging and pro...
by riskguru
June 8th, 2007, 3:45 pm
Forum: Student Forum
Topic: Beginner Question about VEGA
Replies: 9
Views: 71146

Beginner Question about VEGA

In response to samyonez:Would this argument not make the vega of anything I own today zero? I own a call, it is worth 50 cents today (I know that) etc etc......I must be missing something!
by riskguru
May 31st, 2007, 4:04 pm
Forum: Careers Forum
Topic: why would firms require Phd for quant jobs?!?!
Replies: 52
Views: 194931

why would firms require Phd for quant jobs?!?!

<t>I don't think anyone would disagree there are smart non-PhD's out there who can do as well (if not better) at quant work than PhDs (I happen to work with a bunch of them). The original question was "Why is there a preference for PhDs......".My two cents worth from my PhD experience: The first two...
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