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by purbani
November 15th, 2009, 6:50 am
Forum: Numerical Methods Forum
Topic: Efficient asset allocation tool
Replies: 2
Views: 33236

Efficient asset allocation tool

Infiniti Analytics Suite will do what you want
by purbani
October 6th, 2009, 9:58 pm
Forum: Numerical Methods Forum
Topic: Edgeworth to Cornish-Fisher expansion
Replies: 2
Views: 39499

Edgeworth to Cornish-Fisher expansion

<t>Dear jlewkaThe Cornish Fisher expansion to the normal distribution can only handle smallish departures from ‘normality’ and these topics are well covered in Kevin Dowd’s ‘Measuring Market Risk’ and Stefan Jaschke’s and Mina and Ulmer’s papers (“The Cornish-Fisher expansion in the context of Delta...
by purbani
September 29th, 2009, 8:00 pm
Forum: General Forum
Topic: Four Moment Risk Decomposition
Replies: 2
Views: 38539

Four Moment Risk Decomposition

<t>Correction to Infiniti Multivariate 4 Moment Risk DecompositionHi AllPlease note that we discovered an error in this presentation. We were mixing sample and population measures which although it was giving the correct global answer was incorrect at component level. This has now been rectified and...
by purbani
September 17th, 2009, 10:47 pm
Forum: Numerical Methods Forum
Topic: VaR - portfolio of monthly and daily funds
Replies: 6
Views: 36797

VaR - portfolio of monthly and daily funds

<t>Hi Gmike2000All your points are valid. The key phrase for me is NOISY. In the absence of any forecastable information about earnings etc (unless you have bottom up lookthrough) all you have is the historic trend / mean. Unfortunately this is only a sample trend / mean and not the true population ...
by purbani
September 15th, 2009, 2:17 pm
Forum: Numerical Methods Forum
Topic: VaR - portfolio of monthly and daily funds
Replies: 6
Views: 36797

VaR - portfolio of monthly and daily funds

<t>QuoteOriginally posted by: jlewkaHi Peter.Thank you very much for your answer. In other words, if I understand correctly, you would determine covariance, co-skewness and co-kurtosis matrices using monthly NAVs without adjustement (which implies that intra-month behaviour of daily funds is not tak...
by purbani
September 14th, 2009, 11:21 pm
Forum: Numerical Methods Forum
Topic: VaR - portfolio of monthly and daily funds
Replies: 6
Views: 36797

VaR - portfolio of monthly and daily funds

<t>Hi JlewkaWe have implemented this method in the attribution engine of our Infiniti Analytics Suite - You can download a free trial hereAs long as your return data all has the same periodocity i.e. all daily or Monthly this should not be an issue. It is quite likley that the funds for which you ha...
by purbani
August 5th, 2009, 11:09 pm
Forum: Programming and Software Forum
Topic: The Infiniti Analytics Suite ( IAS ) is now live
Replies: 0
Views: 35878

The Infiniti Analytics Suite ( IAS ) is now live

<r>The Infiniti Analytics Suite ( IAS ) is now live and available to purchase. A fully functioning trial, with only the import and export functionality disabled, is available for download from <URL url="http://www.infiniti-analytics.comFor">www.infiniti-analytics.comFor</URL> more details see the IA...
by purbani
July 23rd, 2009, 9:32 pm
Forum: General Forum
Topic: Four Moment Risk Decomposition
Replies: 2
Views: 38539

Four Moment Risk Decomposition

<t>The Infiniti Four Moment Risk Decomposition introduces the concept of ‘modified Volatility’ and associated modified correlation and modified covariance matrices that allow you attribute the impact of higher moments (Skewness and Kurtosis) to your portfolio VaR and CVaR for a given set of weights ...
by purbani
July 22nd, 2009, 3:56 am
Forum: General Forum
Topic: Post Modern Portfolio Theory - Excel
Replies: 4
Views: 40688

Post Modern Portfolio Theory - Excel

<r>Frank Sortino and Brian Rom at the Pension Research Institute first popularized the term in 1987 and expanded on work done by David Nawrocki. It has come to represent the use of most downside and asymmetrical risk measures in preference to volatility.<URL url="http://en.wikipedia.org/wiki/Post-mo...
by purbani
July 13th, 2009, 11:34 pm
Forum: General Forum
Topic: Predicting Regime Switching
Replies: 1
Views: 36853

Predicting Regime Switching

<r><URL url="http://www.beringclimate.noaa.gov/regimes/rodionov_var.pdfhttp://www.beringclimate.noaa.gov/regimes/rodionov_overview.pdf"><LINK_TEXT text="http://www.beringclimate.noaa.gov/regim ... erview.pdf">http://www.beringclimate.noaa.gov/regimes/rodionov_var.pdfhttp://www.beringclimate.noaa.gov...
by purbani
July 9th, 2009, 2:45 am
Forum: General Forum
Topic: The CDO Is Back, But It's Different This Time
Replies: 3
Views: 38038

The CDO Is Back, But It's Different This Time

<t>Morgan Stanley Plans to Turn Downgraded Loan CDO Into AAA Bonds July 8 (Bloomberg) -- Morgan Stanley plans to repackage a downgraded collateralized debt obligation backed by leveraged loans into new securities with AAA ratings in the first transaction of its kind, said two people familiar with th...
by purbani
July 7th, 2009, 11:56 pm
Forum: General Forum
Topic: The CDO Is Back, But It's Different This Time
Replies: 3
Views: 38038

The CDO Is Back, But It's Different This Time

<t>I thought there were some classic quotes in that story:"backers argue there are two significant differences (to CDO's) . First, they involve the securitisation of banks’ existing assets, rather than of new lending" - oh yeah because the quality of their books is so good now. " bankers argue that ...
by purbani
July 6th, 2009, 10:56 pm
Forum: General Forum
Topic: The CDO Is Back, But It's Different This Time
Replies: 3
Views: 38038

The CDO Is Back, But It's Different This Time

<r>(From the FT) <URL url="http://www.ft.com/cms/s/0/47403c68-698f-11de-bc9f-00144feabdc0.htmlInvestment"><LINK_TEXT text="http://www.ft.com/cms/s/0/47403c68-698f ... Investment">http://www.ft.com/cms/s/0/47403c68-698f-11de-bc9f-00144feabdc0.htmlInvestment</LINK_TEXT></URL> banks, including Goldman ...
by purbani
June 25th, 2009, 10:10 pm
Forum: General Forum
Topic: FSA: It's Worse Than I Feared - Paul Wilmott blog 24 June 2009
Replies: 31
Views: 41964

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

<r>As Traden4Alpha says below:‘The securitization of debt is exactly the sorts of magician activities that invalidate traditional mathematical models. By financial sleight-of-hand, banks made their risks disappear from their accounting statements.’This was indeed a neat removing the rabbit from the ...
by purbani
June 25th, 2009, 1:18 am
Forum: General Forum
Topic: FSA: It's Worse Than I Feared - Paul Wilmott blog 24 June 2009
Replies: 31
Views: 41964

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

<t>I'm an uneducated man relative to all on this forum, but it has always struck me that the failures of risk management are largely failures of imagination.Even the latest Stress Tests are asking the same old "What happens if we shift this just a little bit ?" question instead of the more realistic...
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