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by riskguru
May 15th, 2007, 3:48 pm
Forum: General Forum
Topic: Question about derivatives and stock liquidity
Replies: 35
Views: 72934

Question about derivatives and stock liquidity

I'm missing something. It is a derivative contract implying for every buyer there is a seller within the financial community. Why do you need an additional source of capital or think that it takes away from equities?
by riskguru
May 7th, 2007, 4:30 pm
Forum: General Forum
Topic: Which programme is a suitable tool for estimating equation in econometrics?
Replies: 16
Views: 73498

Which programme is a suitable tool for estimating equation in econometrics?

<t>Are you using Eviews in interactive mode or are are you taking advantage of the programming/scripting features as well? Certainly some of what you are doing can be automated to be done in batch mode and I believe that the matrix language within the package gives you the flexibility to add additio...
by riskguru
April 5th, 2007, 3:47 pm
Forum: Technical Forum
Topic: Measure of Risk of a pure FX portfolio
Replies: 11
Views: 78204

Measure of Risk of a pure FX portfolio

How about using historical spot fx rate moves to compute 'hypothetical historical P&L" and use the dsitribution to come up with the risk measure of your choice?? VaR, Condiitonal tail loss etc etc??
by riskguru
April 5th, 2007, 3:46 pm
Forum: Technical Forum
Topic: Measure of Risk of a pure FX portfolio
Replies: 11
Views: 78204

Measure of Risk of a pure FX portfolio

How about using historical spot fx rate moves to compute 'hypothetical historical P&L" and use the dsitribution to come up with the risk measure of your choice?? VaR, Condiitonal tail loss etc etc??
by riskguru
April 3rd, 2007, 4:06 pm
Forum: Technical Forum
Topic: Measure of Risk of a pure FX portfolio
Replies: 11
Views: 78204

Measure of Risk of a pure FX portfolio

<t>I think the only reason you are seeing any differences is because changing X by 1% if not the same as changing (1/X) by 1%. For a consistent set of FX moves (and I agree with the previous posters on the degrees of freedom you have) the P&L is not economically impacted by the change in numerai...
by riskguru
January 31st, 2007, 5:18 pm
Forum: General Forum
Topic: Financial theory: fresh or stagnant?
Replies: 97
Views: 85351

Financial theory: fresh or stagnant?

<t>It seems to me that Finance has always been a field where empirical research has been more useful/insightful than purely theoretical contributions (with notable exceptions like derivative pricing etc, of course). In fact many models in corporate finance in particular seem to have been built after...
by riskguru
October 4th, 2006, 4:11 pm
Forum: Careers Forum
Topic: What is trading like?
Replies: 78
Views: 96845

What is trading like?

<t>I think characterizing "traders" into one homogeneous group does not make sense. There is prop vs. flow and even within prop one can run the gamut from more fundamental strategies like relative value trading to more quantitative ones like stat arb and correlation/vol trading. These obviously vary...
by riskguru
September 29th, 2006, 4:18 pm
Forum: General Forum
Topic: Bonus
Replies: 17
Views: 94402

Bonus

<t>While I don't fundamentally disagree with the "long a call" analogy, I think it is used too often as if it is a one shot game. For most funds, the value of surviving (and therefore being able to collect the 2/25 fee structure) provides a very natural offset to this risk seeking behavior. Is if en...
by riskguru
February 14th, 2006, 5:02 pm
Forum: Technical Forum
Topic: Historical simulation VaR adjustment
Replies: 10
Views: 119870

Historical simulation VaR adjustment

<t>I'm not sure I understand what you are trying to do! If you are trying to compute a one day VaR (using an N day historical window) what matters is how much your current portfolio holdings can change during the day. Most people ignore this in computing a VaR number. Obviously this assumption becom...
by riskguru
February 10th, 2006, 4:40 pm
Forum: Technical Forum
Topic: Historical simulation VaR adjustment
Replies: 10
Views: 119870

Historical simulation VaR adjustment

Isn't that called P&L??
by riskguru
April 11th, 2005, 4:34 pm
Forum: Careers Forum
Topic: Which one to go? UChicago or UWaterloo financial math
Replies: 20
Views: 156054

Which one to go? UChicago or UWaterloo financial math

<t>As I understand it, the finmath program at Chicago is not affiliated with either the Business School or the Economics Department?? If this is true, it is something to keep in mind as you consider the overall reputation of the University, which is obviously stellar, versus the program itself. </t>
by riskguru
February 8th, 2005, 5:39 pm
Forum: Careers Forum
Topic: Why only PhDs?
Replies: 40
Views: 163775

Why only PhDs?

<t>I am reminded as I read this thread about the debate about the tendency of investment banks to typically recruit only from Ivy league schools. The typical justification for this behavior is that it increases the probability of filling the role (I believe someone else has made the same point on th...
by riskguru
October 25th, 2004, 4:07 pm
Forum: Technical Forum
Topic: VaR
Replies: 7
Views: 171684

VaR

<t>Besides all the standard problems with VaR already pointed out (fat tails etc), the additional problem faced by a long/short equity portfolio in particular (I did not see any particular reference to a specifc asset class) is that one almost always relies on a factor model of some kind (Barra/APT ...
by riskguru
September 15th, 2004, 4:11 pm
Forum: Student Forum
Topic: APT Critics
Replies: 20
Views: 178586

APT Critics

Just curious about the differences between the original and modern versions of the APT that you refer to. Are you basically refering to the approximate version versus exact (Chamberlain etc?)?
by riskguru
September 10th, 2004, 4:03 pm
Forum: Student Forum
Topic: APT Critics
Replies: 20
Views: 178586

APT Critics

<t>I don't get it! As I understand APT, it is a consequence (asymptotically) of no arbitrage in an economy. That makes it an economic (and not a statistical) implication?Re: criticisms, there are always the questions regarding the assumptions (which are philosophical/political, or however you want t...
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