SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 432 matches

  • 1
  • 2
  • 3
  • 4
  • 5
  • 29
by Samsaveel
July 28th, 2016, 6:03 am
Forum: General Forum
Topic: (Sensible) Definition of a derivative conctract's notional amount
Replies: 4
Views: 729

Re: (Sensible) Definition of a derivative conctract's notional amount

for the Residual risk add-on you either take the gross notional amount or,  if the gross is nonexistent,  take the maximum potential loss, for the latter you have to get the Expected Effective Positive Exposure which is defined in SA-CCR as : 1.4 *( MtM +PFE(vol of underlying risk driving the contra...
by Samsaveel
June 11th, 2016, 5:30 am
Forum: Book And Research Paper Forum
Topic: Paper on the use of probability theory in finance?
Replies: 5
Views: 970

Paper on the use of probability theory in finance?

<t>In Quantitative fynance --> Pricing derivatives ,i.e computing expectations of payoff functions under single or multi dimensional integrals where the payoff function is dependent on the evolution of an underlying single or multi dependent or independent random variables, density can be known or a...
by Samsaveel
March 21st, 2016, 2:33 pm
Forum: General Forum
Topic: Time Band for calculating capital charge for Vega and Gamma
Replies: 1
Views: 1230

Time Band for calculating capital charge for Vega and Gamma

which regulatory regime are you operating under?
by Samsaveel
December 19th, 2015, 2:23 pm
Forum: General Forum
Topic: Risk-Based P&L
Replies: 8
Views: 7213

Risk-Based P&L

<t>under the new FRTB regulatory regime ,P&L attribution is one of the tools in conjunction with backtesting that must meet rigid criteria for desk level performance and approval to be included in the application for the use of Internal models at desk level ,i.e FI must meet the rigid requiremen...
by Samsaveel
December 19th, 2015, 1:59 pm
Forum: General Forum
Topic: Liquid Assets
Replies: 3
Views: 2605

Liquid Assets

<t>do you mean what the definition of a liquid asset or high quality collateral ? if so then google a presentation by the US office of debt management 2013 ,basically"1-hard currency cash2-Money-like assets :assets with low credit risk, low duration risk, andlow liquidity risk3-whatever the central ...
by Samsaveel
August 24th, 2015, 3:50 am
Forum: General Forum
Topic: What sort of maths is needed for algorithmic execution quant developer?
Replies: 8
Views: 2968

What sort of maths is needed for algorithmic execution quant developer?

1-Market Intuition----> good luck with that.2-a mathematical model to mimic a very complex reality (all the mathematical tools you can fathom )3-a coding language (c# ,c++,MatLab,etc...)
by Samsaveel
July 7th, 2015, 3:16 am
Forum: General Forum
Topic: SABR Risks.
Replies: 8
Views: 24172

SABR Risks.

we generate a vol surface using SABR ,then we apply different twists and turns to this surface to compute vega,is this correct ?should we shift parameters ,recalibrate and compute vega ? or shift the surface ?
by Samsaveel
April 17th, 2015, 1:40 pm
Forum: Technical Forum
Topic: Capturing skew risk in IV swaption surface in VaR Framework
Replies: 11
Views: 4169

Capturing skew risk in IV swaption surface in VaR Framework

what is market practice for checking the non-arbitragability of the IR volatility surface, after adding additive perturbations for scenario generation ?
by Samsaveel
April 13th, 2015, 1:54 pm
Forum: Technical Forum
Topic: Capturing skew risk in IV swaption surface in VaR Framework
Replies: 11
Views: 4169

Capturing skew risk in IV swaption surface in VaR Framework

<t>QuoteOriginally posted by: pcaspersI understood the original question as how to capture the smile risk, which has not been answeredE.g. if you use a SABR surface and suppose you use a naive historical VaR approach, would you just calculate scenarios based on the current [$](\alpha, \beta, \nu, \r...
by Samsaveel
April 9th, 2015, 4:35 pm
Forum: Technical Forum
Topic: Capturing skew risk in IV swaption surface in VaR Framework
Replies: 11
Views: 4169

Capturing skew risk in IV swaption surface in VaR Framework

"a set of logvols derived from SABR " ,which set would that be for the USD 5y10y 100 payer ?
by Samsaveel
April 4th, 2015, 4:14 am
Forum: Technical Forum
Topic: Simulating from Multivariate distributions or Copulas
Replies: 5
Views: 3131

Simulating from Multivariate distributions or Copulas

a t distribution with 4 DoF is in line with observed market dynamics a distribution's tail behavior
by Samsaveel
April 3rd, 2015, 1:45 pm
Forum: Technical Forum
Topic: Simulating from Multivariate distributions or Copulas
Replies: 5
Views: 3131

Simulating from Multivariate distributions or Copulas

<t>the choice of copula is independent from the choice of marginals,the idea is to generate uniform random vectors with dependenceand then applying inverse of a distribution function to the uniform marginals based on theory (Inversion method ) to get a multivariate vector with different marginals.fo...
by Samsaveel
April 3rd, 2015, 1:45 pm
Forum: Technical Forum
Topic: Simulating from Multivariate distributions or Copulas
Replies: 5
Views: 3131

Simulating from Multivariate distributions or Copulas

<t>the choice of copula is independent from the choice of marginals,the idea is to generate uniform random vectors with dependenceand then applying inverse of a distribution function to the uniform marginals based on theory (Inversion method ) to get a multivariate vector with different marginals.fo...
by Samsaveel
April 3rd, 2015, 3:54 am
Forum: Technical Forum
Topic: Does the Solvency II correlation matrix (or any other correlation matrix) imply Pearsn's rho and hence normality?
Replies: 6
Views: 3350

Does the Solvency II correlation matrix (or any other correlation matrix) imply Pearsn's rho and hence normality?

linear correlation is very confusing !it is used everywhere in finance , it only makes sense if the underlying RV ( Bivariate , Multivariate)are normal,or more generallycome from the elliptical world ,send me a pm ,will dig up a good paper that goes into details.
by Samsaveel
April 2nd, 2015, 2:44 pm
Forum: Technical Forum
Topic: Capturing skew risk in IV swaption surface in VaR Framework
Replies: 11
Views: 4169

Capturing skew risk in IV swaption surface in VaR Framework

thanks Martingoul.a position in a swaption 10y10y starting sometime in the past,is the 10 y par swap rate used for fair valuation purposes daily ?
  • 1
  • 2
  • 3
  • 4
  • 5
  • 29
GZIP: On