Financial Risk Management

Close Out NettingSiddhartha Roy 01 Mar 2006

Re: Close Out NettingGlyn Holton 01 Mar 2006

Re: Close Out NettingKathir 13 Mar 2006

Why VaR is Different for a Buy and a Sell Position?cl 01 Mar 2006

Re: Why VaR is Different for a Buy and a Sell Position?JC 01 Mar 2006

Re: Why VaR is Different for a Buy and a Sell Position?cl 01 Mar 2006

Re: Why VaR is Different for a Buy and a Sell Position?Glyn Holton 04 Mar 2006

Re: Why VaR is Different for a Buy and a Sell Position?Anand 05 Jul 2006

Re: Why VaR is Different for a Buy and a Sell Position?steve schiff 18 Jul 2006

Re: Why VaR is Different for a Buy and a Sell Position?Alex 06 Oct 2006

Help!Anna from Russia 01 Mar 2006

Re: Help!chauhan 03 Mar 2006

Re: Help!pieter 20 Jun 2006

Internal control and risk management modelsVitaly 01 Mar 2006

Re: Internal control and risk management modelsGlyn Holton 04 Mar 2006

Re: Internal control and risk management modelsVitaly 06 Mar 2006

Re: Internal control and risk management modelsGlyn Holton 07 Mar 2006

Re: Internal control and risk management modelsVitaly 07 Mar 2006

VolatilityGeorge 02 Mar 2006

Geometric asset returnclwong 02 Mar 2006

Re: Geometric asset returnmal 02 Mar 2006

Re: Geometric asset return03 Mar 2006

Anyone working in Risk dept of Mutual FundFutureFRM 02 Mar 2006

Re: Anyone working in Risk dept of Mutual FundMark Taranto 03 Mar 2006

Re: Anyone working in Risk dept of Mutual FundGlyn Holton 04 Mar 2006

Re: Anyone working in Risk dept of Mutual FundKathir 12 Mar 2006

Re: Anyone working in Risk dept of Mutual FundWannaStayAnonymous 09 Aug 2006

Constant maturity swapAD 03 Mar 2006

Re: Constant maturity swapPerrow 03 Mar 2006

Is PVBP additive?03 Mar 2006

Re: Is PVBP additive?Perrow 03 Mar 2006

ALM: getting startedfilipe 03 Mar 2006

Re: ALM: getting startedchauhan 03 Mar 2006

Re: ALM: getting startedfilipe 03 Mar 2006

Re: ALM: getting startedGlyn Holton 04 Mar 2006

Re: ALM: getting startedfilipe 04 Mar 2006

Valuing LIFFE traded contractsPeri 03 Mar 2006

Re: Valuing LIFFE traded contractsGlyn Holton 04 Mar 2006

Re: Valuing LIFFE traded contractsPeri 12 Mar 2006

Risk of IRS bookbrij 05 Mar 2006

Re: Risk of IRS bookVitaly 13 Mar 2006

bondstammy 05 Mar 2006

Re: bondsMark Taranto 06 Mar 2006

Local volatility for interest rate derivativesKrassimir 06 Mar 2006

Re: Local volatility for interest rate derivativesGlyn Holton 07 Mar 2006

subadditivity, negative diversification effects. How to deal with it (or not)?06 Mar 2006

Re: subadditivity, negative diversification effects. How to deal ...Glyn Holton 07 Mar 2006

Creditportfolio Viewmogirte 06 Mar 2006

Re: Creditportfolio ViewFutureFRM 06 Mar 2006

Re: Creditportfolio ViewMark Taranto 07 Mar 2006

Re: Creditportfolio ViewMario R. Melchiori 07 Mar 2006

GS vs JPMorgancrash 07 Mar 2006

Re: GS vs JPMorganMark Taranto 08 Mar 2006

Merton's 1974 paperfilipe 08 Mar 2006

Re: Merton's 1974 paper08 Mar 2006

Re: Merton's 1974 paperMark Taranto 08 Mar 2006

Re: Merton's 1974 paperWertamaki 20 Dec 2006

Setting soft limit for concentration riskMinjae 08 Mar 2006

Re: Setting soft limit for concentration riskVP 08 Mar 2006

futures long/short08 Mar 2006

Re: futures long/shortGlyn Holton 08 Mar 2006

Re: futures long/short08 Mar 2006

Re: futures long/shortGlyn Holton 08 Mar 2006

Re: futures long/shortMark Taranto 08 Mar 2006

Re: futures long/shortGlyn Holton 09 Mar 2006

Re: futures long/short09 Mar 2006

Re: futures long/shortGlyn Holton 09 Mar 2006

Re: futures long/short10 Mar 2006

Oil - linked payment obligation pricingJC 08 Mar 2006

Re: Oil - linked payment obligation pricingmal 10 Mar 2006

CMS-rate linked derivativesKrassimir 09 Mar 2006

Re: CMS-rate linked derivativesKrassimir 09 Mar 2006

Re: CMS-rate linked derivativesMark Taranto 09 Mar 2006

Re: CMS-rate linked derivativesKrassimir 09 Mar 2006

Re: CMS-rate linked derivativesMark Taranto 09 Mar 2006

Re: CMS-rate linked derivativesKrassimir 10 Mar 2006

Re: CMS-rate linked derivativesMark Taranto 10 Mar 2006

Re: CMS-rate linked derivativesGlyn Holton 09 Mar 2006

MSc in Risk ManagementPhil 09 Mar 2006

Re: MSc in Risk ManagementMark Taranto 10 Mar 2006

Re: MSc in Risk Managementkelvin 12 Aug 2006

Futures ChartsTatenda Kutaura 10 Mar 2006

Re: Futures Charts10 Mar 2006

CDO TranchesJapar 10 Mar 2006

Swap valuationClipse 13 Mar 2006

Re: Swap valuationMark Taranto 20 Mar 2006

Settlement date conventionsGirish V S 14 Mar 2006

Re: Settlement date conventionsPerrow 14 Mar 2006

Re: Settlement date conventionsGirish V S 16 Mar 2006

Re: Settlement date conventionsMark Taranto 20 Mar 2006

Re: Settlement date conventionsGlyn Holton 20 Mar 2006

Accumulator & skyline swapziess 14 Mar 2006

mortgage port is making too much in a sell off?stefaka 14 Mar 2006

Re: mortgage port is making too much in a sell off?Perrow 14 Mar 2006

Re: mortgage port is making too much in a sell off?Mark Taranto 20 Mar 2006

Need ClarificationYan Yiu 14 Mar 2006

Re: Need ClarificationMark Taranto 20 Mar 2006

Cubic Spline analysisBilly 14 Mar 2006

Re: Cubic Spline analysisMark Taranto 20 Mar 2006

Re: Cubic Spline analysisGlyn Holton 20 Mar 2006

Re: Cubic Spline analysisMark Taranto 20 Mar 2006

Historical free Libor 6-month ratesBilly 14 Mar 2006

Re: Historical free Libor 6-month rates14 Mar 2006

Simulating a time series15 Mar 2006

Re: Simulating a time series15 Mar 2006

volatility arbitrage15 Mar 2006

Historical VaRJCV 15 Mar 2006

Re: Historical VaR16 Mar 2006

Re: Historical VaRGlyn Holton 20 Mar 2006

CFA course materialkrish 16 Mar 2006

Re: CFA course materialRenjith 02 Jan 2007

CFA course material, contd...16 Mar 2006

Re: CFA course material, contd...Louis 17 Mar 2006

Re: CFA course material, contd...Krish 17 Mar 2006

Re: CFA course material, contd...Glyn Holton 20 Mar 2006

Re: CFA course material, contd...23 Mar 2006

Re: CFA course material, contd...Horseless 23 Mar 2006

Re: CFA course material, contd...Glyn Holton 23 Mar 2006

Re: CFA course material, contd...Horseless 24 Mar 2006

Re: CFA course material, contd...Glyn Holton 24 Mar 2006

Swap RateBrij 16 Mar 2006

Re: Swap RateGlyn Holton 20 Mar 2006

Re: Swap RateMark Taranto 20 Mar 2006

Re: Swap Rate22 Mar 2006

Re: Swap RateMark Taranto 22 Mar 2006

Survey - absolute vs relative returns for HS VaRJN 16 Mar 2006

Re: Survey - absolute vs relative returns for HS VaRGlyn Holton 20 Mar 2006

Re: Survey - absolute vs relative returns for HS VaR21 Mar 2006

Discount curve for maturity 20yKrassimir 17 Mar 2006

Re: Discount curve for maturity 20yGlyn Holton 20 Mar 2006

Re: Discount curve for maturity 20yKrassimir 20 Mar 2006

Beginner's question on PV0117 Mar 2006

Re: Beginner's question on PV01Glyn Holton 20 Mar 2006

Re: Beginner's question on PV01Mark Taranto 20 Mar 2006

VaR for a "foreign" futures portfolioriskpuppy 19 Mar 2006

Re: VaR for a "foreign" futures portfolioGlyn Holton 20 Mar 2006

Re: VaR for a "foreign" futures portfolioriskpuppy 20 Mar 2006

Re: VaR for a "foreign" futures portfolioGlyn Holton 22 Mar 2006

limit setting20 Mar 2006

Re: limit settingGlyn Holton 20 Mar 2006

CDX/iTraxx Time SeriesSigurd DeMizar 20 Mar 2006

Re: CDX/iTraxx Time SeriesMark Taranto 20 Mar 2006

Re: CDX/iTraxx Time SeriesSigurd DeMizar 20 Mar 2006

Re: CDX/iTraxx Time SeriesMark Taranto 20 Mar 2006

Re: CDX/iTraxx Time Seriesvivek 07 Sep 2006

Historical VAR - MarketdataMichael 21 Mar 2006

Global Property Research IndexChris 21 Mar 2006

Re: Global Property Research IndexMichael 21 Mar 2006

Re: Global Property Research IndexMark Taranto 21 Mar 2006

Please help!!!Sarah 21 Mar 2006

Re: Please help!!!21 Mar 2006

Re: Please help!!!sarah 22 Mar 2006

Average duration, coupon, YTM and credit quality of a portfolioCsoni 21 Mar 2006

Re: Average duration, coupon, YTM and credit quality of a portfolioMark Taranto 22 Mar 2006

CreditMetrics ExamVeronica 22 Mar 2006

Re: CreditMetrics ExamMario R. Melchiori 24 Mar 2006

Re: CreditMetrics ExamTuned Solo 22 Nov 2006

REX10Y - Convexity AdjustmentKrassimir 22 Mar 2006

Help please!!!Sarah 22 Mar 2006

Re: Help please!!!Mark Taranto 22 Mar 2006

Re: Help please!!!Horseless 22 Mar 2006

Re: Help please!!!Mark Taranto 22 Mar 2006

Re: Help please!!!Sarah 23 Mar 2006

Interest rate derivatives and greeksRavi Bhushan 22 Mar 2006

Re: Interest rate derivatives and greeksMark Taranto 22 Mar 2006

RiskMetrics vs BloombergBurny 22 Mar 2006

Re: RiskMetrics vs BloombergHorseless 22 Mar 2006

Re: RiskMetrics vs BloombergBurny 22 Mar 2006

Re: RiskMetrics vs BloombergMichael 22 Mar 2006

Re: RiskMetrics vs BloombergHorseless 22 Mar 2006

Re: RiskMetrics vs BloombergBurny 23 Mar 2006

request for academic materialbright maposhere 22 Mar 2006

Re: request for academic materialbriht 21 Sep 2006

PRMIA vs. GARP for risk examKrish 23 Mar 2006

Re: PRMIA vs. GARP for risk exammal 23 Mar 2006

Re: PRMIA vs. GARP for risk examMark Taranto 23 Mar 2006

Re: PRMIA vs. GARP for risk examGlyn Holton 27 Mar 2006

hedge fund risk managementKrish 23 Mar 2006

Re: hedge fund risk managementMark Taranto 23 Mar 2006

US T-Note Auction/stopout yield; aggregate total issuance proceedsRick McClunie 23 Mar 2006

Re: US T-Note Auction/stopout yield; aggregate total issuance pro...Mark Taranto 24 Mar 2006

Valuation of Quality optionSigurd DeMizar 23 Mar 2006

Re: Valuation of Quality optionMark Taranto 24 Mar 2006

Welcome for young newcomers?Jozsef Hegedus 23 Mar 2006

Re: Welcome for young newcomers?Mark Taranto 24 Mar 2006

Your idea wanted! Does Overnight Loan have market risk?Wellfrog 24 Mar 2006

Re: Your idea wanted! Does Overnight Loan have market risk?Mark Taranto 24 Mar 2006

Re: Your idea wanted! Does Overnight Loan have market risk?Glyn Holton 24 Mar 2006

Re: Your idea wanted! Does Overnight Loan have market risk?wellfrog 25 Mar 2006

Re: Your idea wanted! Does Overnight Loan have market risk?Glyn Holton 27 Mar 2006

Re: Your idea wanted! Does Overnight Loan have market risk?Wellfrog 30 Mar 2006

Cost of Risk Management SystemsTom 24 Mar 2006

Re: Cost of Risk Management Systems28 Mar 2006

Expected return and standard deviation of n risky assets24 Mar 2006

Re: Expected return and standard deviation of n risky assetsMario Melchiori 24 Mar 2006

Re: Expected return and standard deviation of n risky assetsMark Taranto 24 Mar 2006

Bloomberg VaRBurny 24 Mar 2006

Re: Bloomberg VaRMichael 28 Mar 2006

Calculate the VaRBurny 24 Mar 2006

Re: Calculate the VaRMark Taranto 24 Mar 2006

Re: Calculate the VaRGlyn Holton 24 Mar 2006

Re: Calculate the VaRMario R. Melchiori 26 Mar 2006

Re: Calculate the VaRburny 28 Mar 2006

Re: Calculate the VaRSai 04 Jul 2006

Re: Calculate the VaRalex 04 Aug 2006

Re: Calculate the VaRciocoiu 29 Sep 2006

Re: Calculate the VaRRobert Chanon 27 Sep 2006

Re: Calculate the VaRSheena 22 Nov 2006

Re: Calculate the VaRTuned Solo 22 Nov 2006

Re: Calculate the VaRCarsten Lausberg 05 Dec 2006

Risk measures for distressed debtChris Doyle 24 Mar 2006

Re: Risk measures for distressed debtGlyn Holton 24 Mar 2006

Re: Risk measures for distressed debtMark Taranto 28 Mar 2006

Credit Risk Model for ABSRene 24 Mar 2006

Re: Credit Risk Model for ABSRene 24 Mar 2006

Re: Credit Risk Model for ABSHorseless 24 Mar 2006

Re: Credit Risk Model for ABSRene 24 Mar 2006

Re: Credit Risk Model for ABSHorseless 27 Mar 2006

Re: Credit Risk Model for ABSTrader 25 Mar 2006

Re: Credit Risk Model for ABSMario R. Melchiori 26 Mar 2006

Re: Credit Risk Model for ABSMark Taranto 27 Mar 2006

Fund Industry Risks and IssuesJohn 24 Mar 2006

Re: Fund Industry Risks and IssuesMark Taranto 27 Mar 2006

Re: Fund Industry Risks and IssuesHorseless 27 Mar 2006

Brownian ModelNicolas Cachanosky 25 Mar 2006

Re: Brownian ModelMario R. Melchiori 26 Mar 2006

Financial marketsBarbara 25 Mar 2006

Re: Financial marketsMark Taranto 27 Mar 2006

RAMP and EVAVarun 26 Mar 2006

Re: RAMP and EVAGlyn Holton 27 Mar 2006

Pls HelpBrij 26 Mar 2006

Re: Pls HelpMark Taranto 27 Mar 2006

Re: Pls Help28 Mar 2006

VaR of single cash flow - basic question - please confirm my calc?point 28 Mar 2006

Re: VaR of single cash flow - basic question - please confirm my ...28 Mar 2006

Re: VaR of single cash flow - basic question - please confirm...28 Mar 2006

Re: VaR of single cash flow - basic question - please confirm my ...28 Mar 2006

Re: VaR of single cash flow - basic question - please confirm...tanto 29 Mar 2006

Journal of Risk Shutting Down?Doug 28 Mar 2006

Re: Journal of Risk Shutting Down?Mark Taranto 28 Mar 2006

Re: Journal of Risk Shutting Down?Horseless 28 Mar 2006

Re: Journal of Risk Shutting Down?Mesner 29 Mar 2006

Re: Journal of Risk Shutting Down?mal 30 Mar 2006

Re: Journal of Risk Shutting Down?Joel 31 Mar 2006

Re: Journal of Risk Shutting Down?Mesner 04 Apr 2006

Re: Journal of Risk Shutting Down?04 Apr 2006

Re: Journal of Risk Shutting Down?mal 06 Apr 2006

Re: Journal of Risk Shutting Down?Horseless 06 Apr 2006

Convertibles. NEED ADVICE!!! THANX!Vladimir 28 Mar 2006

Re: Convertibles. NEED ADVICE!!! THANX!Mark Taranto 29 Mar 2006

Re: Convertibles. NEED ADVICE!!! THANX!Vladimir 29 Mar 2006

Mark, the last question. Calamos Book on Convertibles.VLadimir 29 Mar 2006

Re: Mark, the last question. Calamos Book on Convertibles.Glyn Holton 30 Mar 2006

Re: Mark, the last question. Calamos Book on Convertibles.Mark Taranto 30 Mar 2006

VaRSerena 28 Mar 2006

Re: VaRmal 28 Mar 2006

Liquidity Gap - what does it tell me?amir 29 Mar 2006

Re: Liquidity Gap - what does it tell me?brij 29 Mar 2006

Re: Liquidity Gap - what does it tell me?Glyn Holton 29 Mar 2006

Delta neutral PositionJJ 30 Mar 2006

Re: Delta neutral Positionmal 30 Mar 2006

Re: Delta neutral Position30 Mar 2006

Re: Delta neutral PositionMark Taranto 30 Mar 2006

CDO and CLN pricingRavi Bhushan 30 Mar 2006

Re: CDO and CLN pricingHorseless 30 Mar 2006

PCA for hedge fundsMukul 30 Mar 2006

Re: PCA for hedge fundsGlyn Holton 30 Mar 2006

Re: PCA for hedge fundsMukul 31 Mar 2006

Re: PCA for hedge fundsGlyn Holton 31 Mar 2006

CVaR with insecure sales price and insecure rawmaterial pricePete 30 Mar 2006

Re: CVaR with insecure sales price and insecure rawmaterial price31 Mar 2006

Re: CVaR with insecure sales price and insecure rawmaterial p...I don't know 01 Apr 2006

Risk Documents Website31 Mar 2006

Re: Risk Documents Website31 Mar 2006

Re: Risk Documents WebsiteGlyn Holton 31 Mar 2006

How do you manage risks in Mutual Funds ?FutureFRM 31 Mar 2006

Re: How do you manage risks in Mutual Funds ?Glyn Holton 31 Mar 2006

VaR returnsKL 31 Mar 2006

Re: VaR returnsGlyn Holton 31 Mar 2006

Re: VaR returnsMark Taranto 31 Mar 2006

VAR jihadHorseless 31 Mar 2006

Re: VAR jihadGlyn Holton 31 Mar 2006

Re: VAR jihadMark Taranto 31 Mar 2006

forward rate and discountingJoseph 31 Mar 2006

Re: forward rate and discountingMark Taranto 31 Mar 2006

volatilitytamra 31 Mar 2006

Re: volatilityMark Taranto 31 Mar 2006

Risk management solutionPhil 31 Mar 2006

Re: Risk management solutionMark Taranto 31 Mar 2006

Re: Risk management solution07 Jul 2006

Pricing of a 3 up-swing optionYan Yiu 31 Mar 2006

Re: Pricing of a 3 up-swing optionMark Taranto 31 Mar 2006

Re: Pricing of a 3 up-swing optionHorseless 31 Mar 2006

Re: Pricing of a 3 up-swing optionMark Taranto 31 Mar 2006

Re: Pricing of a 3 up-swing optionHorseless 31 Mar 2006

Re: Pricing of a 3 up-swing optionYan Yiu 01 Apr 2006

Re: Pricing of a 3 up-swing optionHorseless 03 Apr 2006

Thesis dead end...Viper 31 Mar 2006

Re: Thesis dead end...Atilla 01 Apr 2006

Re: Thesis dead end...Perrow 03 Apr 2006

Re: Thesis dead end...Horseless 03 Apr 2006

Re: Thesis dead end...03 Apr 2006

Re: Thesis dead end...Perrow 03 Apr 2006

Re: Thesis dead end...Viper 03 Apr 2006

Var for a option portfolioLouis 01 Apr 2006

Re: Var for a option portfolioMark Taranto 03 Apr 2006

Re: Var for a option portfolioGlyn Holton 04 Apr 2006

Applying VAR concept/methodology in non-financial industry??undiscern 02 Apr 2006

Re: Applying VAR concept/methodology in non-financial industry??Mark Taranto 03 Apr 2006

Re: Applying VAR concept/methodology in non-financial industry??Glyn Holton 04 Apr 2006

Investment Bank InterviewTony 02 Apr 2006

Re: Investment Bank InterviewMark Taranto 03 Apr 2006

Re: Investment Bank InterviewPerrow 03 Apr 2006

Re: Investment Bank InterviewMark Taranto 03 Apr 2006

Re: Investment Bank InterviewHorseless 03 Apr 2006

Re: Investment Bank InterviewTony 04 Apr 2006

Re: Investment Bank InterviewSwingin Dick 05 Apr 2006

Re: Investment Bank Interviewmal 06 Apr 2006

Re: Investment Bank InterviewMark Taranto 06 Apr 2006

standard deviation for multiple holding periodsMary Anne 02 Apr 2006

Re: standard deviation for multiple holding periodsMark Taranto 03 Apr 2006

Re: standard deviation for multiple holding periodseven if you are assuming constant expected retunr over all years? thanks 03 Apr 2006

Re: standard deviation for multiple holding periodsMark Taranto 03 Apr 2006

Re: standard deviation for multiple holding periods03 Apr 2006

Quanto riskEd 03 Apr 2006

Re: Quanto riskMark Taranto 03 Apr 2006

Article 747nguyen 03 Apr 2006

Re: Article 747Mark Taranto 03 Apr 2006

Cornish-Fisher VarEric 03 Apr 2006

Re: Cornish-Fisher VarGlyn Holton 04 Apr 2006

Property DerivativsLine 04 Apr 2006

Re: Property DerivativsMark Taranto 04 Apr 2006

Historical VAR and optionsSamT 04 Apr 2006

Re: Historical VAR and optionsGlyn Holton 04 Apr 2006

Re: Historical VAR and options05 Apr 2006

Re: Historical VAR and optionsGlyn Holton 05 Apr 2006

options greeksAxel Brandt 04 Apr 2006

Re: options greeksMark Taranto 04 Apr 2006

Interest Rate ForecastingAlison 04 Apr 2006

Re: Interest Rate ForecastingMark Taranto 04 Apr 2006

Re: Interest Rate ForecastingAlison 04 Apr 2006

Re: Interest Rate ForecastingMark Taranto 04 Apr 2006

Re: Interest Rate ForecastingGlyn Holton 04 Apr 2006

Re: Interest Rate ForecastingMark Taranto 05 Apr 2006

Swap ValuationBrij 04 Apr 2006

Re: Swap ValuationMark Taranto 04 Apr 2006

Re: Swap ValuationBrij 05 Apr 2006

Re: Swap Valuation -- Answer (Part I)Mark Taranto 06 Apr 2006

Re: Swap Valuation -- Answer (Part II)Mark Taranto 06 Apr 2006

The Basel AccordsShubha 04 Apr 2006

Re: The Basel AccordsMark Taranto 04 Apr 2006

Re: The Basel Accords04 Apr 2006

Re: The Basel Accordslazzarox 22 Sep 2006

Re: The Basel Accordsdekockd 22 Sep 2006

Portfolio Insurance StrategiesRob 05 Apr 2006

Re: Portfolio Insurance StrategiesM 05 Apr 2006

Re: Portfolio Insurance StrategiesMark Taranto 05 Apr 2006

Re: Portfolio Insurance StrategiesSwingin Dick 05 Apr 2006

Re: Portfolio Insurance StrategiesMark Taranto 06 Apr 2006

Re: Portfolio Insurance Strategiesmal 05 Apr 2006

Currency options and VaRram 06 Apr 2006

Re: Currency options and VaR06 Apr 2006

Re: Currency options and VaRHorseless 06 Apr 2006

Re: Currency options and VaRMark Taranto 06 Apr 2006

Mortgage Bloomberg ScreensNew Guy 07 Apr 2006

Re: Mortgage Bloomberg ScreensMark Taranto 10 Apr 2006

Re: Mortgage Bloomberg ScreensTrader 11 Apr 2006

VaR modelsRob 08 Apr 2006

Re: VaR modelsLowery 08 Apr 2006

Re: VaR modelsRob 09 Apr 2006

re: Thesis help pleaseSarah 08 Apr 2006

re: Thesis help pleaseMark Taranto 10 Apr 2006

re: Thesis help pleaseSarah 17 Apr 2006

Data BaseSlim 08 Apr 2006

ARMA(p;q)NC 08 Apr 2006

problem of inadequate data points for risk measurement09 Apr 2006

Re: problem of inadequate data points for risk measurementMark Taranto 10 Apr 2006

Re: problem of inadequate data points for risk measurement10 Apr 2006

Re: problem of inadequate data points for risk measurementHorseless 10 Apr 2006

Re: problem of inadequate data points for risk measurementMark Taranto 12 Apr 2006

VaR WeaknessesRich 09 Apr 2006

Re: VaR WeaknessesGlyn Holton 11 Apr 2006

Re: VaR WeaknessesMark Taranto 11 Apr 2006

Re: VaR Weaknesses11 Apr 2006

BASEL II - Op RiskKelvin Yeung 10 Apr 2006

VaR of depositsbrandy 10 Apr 2006

Re: VaR of depositsKrassimir 10 Apr 2006

Re: VaR of deposits10 Apr 2006

Re: VaR of depositsGlyn Holton 10 Apr 2006

Re: VaR of depositsHugo 19 May 2006

Re: VaR of depositsMark Taranto 10 Apr 2006

What part of the margin is due to Embedded FeaturesKrassimir 10 Apr 2006

Re: What part of the margin is due to Embedded FeaturesMark Taranto 10 Apr 2006

Calculation of VaR for international StocksLeyla 10 Apr 2006

Re: Calculation of VaR for international StocksGlyn Holton 10 Apr 2006

East Europe Stress Scenariomika 10 Apr 2006

Re: East Europe Stress ScenarioMark Taranto 10 Apr 2006

Re: East Europe Stress Scenariomika 11 Apr 2006

Career TalkApsy 10 Apr 2006

Re: Career TalkPit 11 Apr 2006

Re: Career TalkPerrow 11 Apr 2006

Re: Career TalkMark Taranto 11 Apr 2006

Re: Career TalkHorseless 11 Apr 2006

Re: Career TalkMark Taranto 11 Apr 2006

Re: Career Talkmika 12 Apr 2006

Re: Career TalkMark Taranto 12 Apr 2006

Re: Career TalkApsy 11 Apr 2006

Aggregate Equity PositionMark 10 Apr 2006

Re: Aggregate Equity PositionGlyn Holton 11 Apr 2006

pricing CDO'sfilipe 11 Apr 2006

Re: pricing CDO'sGlyn Holton 11 Apr 2006

Re: pricing CDO'sfilipe 11 Apr 2006

LaddersJunior 11 Apr 2006

Re: LaddersHorseless 11 Apr 2006

Re: LaddersJunior 11 Apr 2006

Re: LaddersHorseless 12 Apr 2006

Re: LaddersMark Taranto 13 Apr 2006

inflation linked Swapsvan heirstraeten didier 12 Apr 2006

Re: inflation linked SwapsMark Taranto 12 Apr 2006

Re: inflation linked SwapsHorseless 12 Apr 2006

Delta risk of forward strike optionsSimone 12 Apr 2006

Re: Delta risk of forward strike optionsHorseless 12 Apr 2006

Re: Delta risk of forward strike optionsmal 12 Apr 2006

Re: Delta risk of forward strike optionsMark Taranto 12 Apr 2006

Re: Delta risk of forward strike optionsSimone 13 Apr 2006

Re: Delta risk of forward strike optionsMark Taranto 13 Apr 2006

Re: Delta risk of forward strike optionsmal 13 Apr 2006

Re: Delta risk of forward strike optionsMark Taranto 13 Apr 2006

Re: Delta risk of forward strike options - Part 2Mark Taranto 13 Apr 2006

Re: Delta risk of forward strike optionsmal 13 Apr 2006

Re: Delta risk of forward strike optionsMark Taranto 13 Apr 2006

Re: Delta risk of forward strike optionsmal 14 Apr 2006

Re: Delta risk of forward strike optionsMark Taranto 17 Apr 2006

Re: Delta risk of forward strike optionsmal 17 Apr 2006

Re: Delta risk of forward strike options - case 2Simone 13 Apr 2006

Re: Delta risk of forward strike options - case 2mal 14 Apr 2006

Option pricing models for Environmental ResourcesFotios Tsagas 12 Apr 2006

Re: Option pricing models for Environmental ResourcesHorseless 12 Apr 2006

Market Risk MonitoringMeir 12 Apr 2006

Re: Market Risk MonitoringMark Taranto 12 Apr 2006

Pricevol vs Yldvol for EurodollarfuturesHusky 12 Apr 2006

Industry limits for banksVitaly 13 Apr 2006

Re: Industry limits for banksMark Taranto 13 Apr 2006

Re: Industry limits for banksVitaly 17 Apr 2006

Re: Industry limits for banksMark Taranto 17 Apr 2006

Delta of Forward ContractBrij 16 Apr 2006

Re: Delta of Forward ContractMark Taranto 17 Apr 2006

VaR on currency portfolio having spot & Optionssnvk4u 17 Apr 2006

Re: VaR on currency portfolio having spot & OptionsGlyn Holton 17 Apr 2006

Re: VaR on currency portfolio having spot & Optionssnvk 26 Apr 2006

ALM software: BacWare vs Sendero. Who's the best?Roberto Carlos 18 Apr 2006

Re: ALM software: BacWare vs Sendero. Who's the best?Noelia 21 Dec 2006

Simulating a mean reversion process with jumps to price optionsCarlos 18 Apr 2006

Re: Simulating a mean reversion process with jumps to price optionsMark Taranto 18 Apr 2006

Re: Simulating a mean reversion process with jumps to price o...Glyn Holton 18 Apr 2006

Hedging with PCATrader 19 Apr 2006

Re: Hedging with PCAPerrow 19 Apr 2006

Re: Hedging with PCAMark Taranto 19 Apr 2006

RiskMetrics data files naming conventionpoint 19 Apr 2006

Re: RiskMetrics data files naming convention19 Apr 2006

Duration/Convexity of balance sheet profiletanto 20 Apr 2006

Re: Duration/Convexity of balance sheet profileMark Taranto 20 Apr 2006

Re: Duration/Convexity of balance sheet profileGlyn Holton 24 Apr 2006

Re: Duration/Convexity of balance sheet profileMark Taranto 25 Apr 2006

Inflation linked bondsCarol 20 Apr 2006

Re: Inflation linked bondsMark Taranto 20 Apr 2006

VaRHoratio 20 Apr 2006

Re: VaRMark Taranto 20 Apr 2006

Re: VaRHoration 21 Apr 2006

Re: VaRMark Taranto 21 Apr 2006

Re: VaRGlyn Holton 24 Apr 2006

Re: VaRMark Taranto 24 Apr 2006

Capital GuaranteeAparna Setya 21 Apr 2006

Re: Capital GuaranteeLowery 23 Apr 2006

risk decomposition using Monte Carlosnvk 21 Apr 2006

Re: risk decomposition using Monte CarloGlyn Holton 24 Apr 2006

Confused about VaR CalculationsPaul 21 Apr 2006

Re: Confused about VaR CalculationsLowery 23 Apr 2006

Article 961Trader 21 Apr 2006

short dividend expensewendy 22 Apr 2006

Re: short dividend expenseLowery 23 Apr 2006

why volatility, generally, and variance specifically may not be a good measure of risk in real world portfolio??syed 23 Apr 2006

Re: why volatility, generally, and variance specifically may not ...Lowery 23 Apr 2006

Re: why volatility, generally, and variance specifically may ...Glyn Holton 24 Apr 2006

Re: why volatility, generally, and variance specifically may ...Horseless 24 Apr 2006

Re: why volatility, generally, and variance specifically may ...Mark Taranto 24 Apr 2006

Re: why volatility, generally, and variance specifically may not ...Mark Taranto 24 Apr 2006

Career ProspectsMJ 23 Apr 2006

Re: Career ProspectsMark Taranto 24 Apr 2006

Re: Career ProspectsGlyn Holton 24 Apr 2006

Re: Career ProspectsMJ 24 Apr 2006

Option in historical VARSam T 24 Apr 2006

Re: Option in historical VARMark Taranto 24 Apr 2006

Re: Option in historical VAR24 Apr 2006

Re: Option in historical VARGlyn Holton 24 Apr 2006

Re: Option in historical VARsnvk 26 Apr 2006

capture of risk for inflation linked bondsmika 24 Apr 2006

trade efficiencyRFC 24 Apr 2006

Re: trade efficiencyHorseless 24 Apr 2006

Re: trade efficiencyGlyn Holton 25 Apr 2006

project Rrisk ModelsKevin 25 Apr 2006

Re: VaR on currency portfolio having spot & Optionssnvk 26 Apr 2006

Re: VaR on currency portfolio having spot & OptionsMark Taranto 26 Apr 2006

Parametric VaR calculationFutureFRM 26 Apr 2006

Re: Parametric VaR calculationsnvk 26 Apr 2006

Pricing asset swapsKrassimir 26 Apr 2006

Re: Pricing asset swapsMark Taranto 26 Apr 2006

listed long-term call optionJC 26 Apr 2006

Re: listed long-term call optionMark Taranto 27 Apr 2006

Funds Transfer PricingAlex 27 Apr 2006

Re: Funds Transfer PricingMark Taranto 27 Apr 2006

Re: Funds Transfer PricingHorseless 27 Apr 2006

Article 1008badeborah 27 Apr 2006

Re: Article 1008Mark Taranto 27 Apr 2006

Re: Article 100828 Apr 2006

Re: Article 1008Kelvin Yeung 01 May 2006

Yield curve, Swap curve, and BenchmarkJunior 27 Apr 2006

Re: Yield curve, Swap curve, and BenchmarkMark Taranto 27 Apr 2006

Re: Yield curve, Swap curve, and Benchmarkdjumala 12 Dec 2006

expected returnrodolfo 28 Apr 2006

Re: expected returnMark Taranto 02 May 2006

digital edition of value at risk, theory & practicesnvk 28 Apr 2006

Re: digital edition of value at risk, theory & practiceGlyn Holton 02 May 2006

Silver Swap RiskSonny 28 Apr 2006

Re: Silver Swap Risk02 May 2006

Discounting with different yieldshero 01 May 2006

Re: Discounting with different yieldsMark Taranto 02 May 2006

Vol surfaceJunior 01 May 2006

Re: Vol surfaceMark Taranto 02 May 2006

IR SWAP with embedded optionZack 03 May 2006

Re: IR SWAP with embedded optionMark Taranto 03 May 2006

Re: IR SWAP with embedded optionHorseless 03 May 2006

CDS spead correlationHessel Brouwer 03 May 2006

Re: CDS spead correlationMark Taranto 03 May 2006

Re: CDS spead correlationHessel Brouwer 03 May 2006

Re: CDS spead correlationHorseless 03 May 2006

Re: CDS spead correlationHessel Brouwer 03 May 2006

Re: CDS spead correlationHorseless 03 May 2006

Re: CDS spead correlation04 May 2006

Re: CDS spead correlationMark Taranto 04 May 2006

Re: CDS spead correlationHorseless 04 May 2006

Volume of the market of range accrualRoberta 04 May 2006

Re: Volume of the market of range accrualMark Taranto 04 May 2006

BGM Model (Brace-Gatarek-Musiela)Roberta 04 May 2006

Re: BGM Model (Brace-Gatarek-Musiela)Horseless 04 May 2006

Re: BGM Model (Brace-Gatarek-Musiela)pompiliu 28 Aug 2006

MBA vs. CFASimon Yi 05 May 2006

Re: MBA vs. CFAMark Taranto 05 May 2006

Re: MBA vs. CFAmal 05 May 2006

Re: MBA vs. CFAHorseless 05 May 2006

Re: MBA vs. CFAMark Taranto 05 May 2006

Re: MBA vs. CFAHorseless 05 May 2006

Re: MBA vs. CFAMark Taranto 05 May 2006

Re: MBA vs. CFAmal 05 May 2006

Re: MBA vs. CFAHorseless 05 May 2006

Re: MBA vs. CFASimon 05 May 2006

Re: MBA vs. CFAMark Taranto 05 May 2006

Re: MBA vs. CFAHorseless 05 May 2006

Re: MBA vs. CFAmal 06 May 2006

Re: MBA vs. CFAMark Taranto 08 May 2006

Re: MBA vs. CFAApsy 09 May 2006

Re: MBA vs. CFAMark Taranto 10 May 2006

Derivative of PVJohn 05 May 2006

Re: Derivative of PVMark Taranto 08 May 2006

Bond VaR ExampleNC 07 May 2006

Re: Bond VaR ExampleLowery 09 May 2006

Duration of interest rate swap - revisitKJ 09 May 2006

Re: Duration of interest rate swap - revisitMark Taranto 10 May 2006

Re: Duration of interest rate swap - revisitKJ 10 May 2006

Re: Duration of interest rate swap - revisitPerrow 11 May 2006

Re: Duration of interest rate swap - revisitMark Taranto 11 May 2006

Re: Duration of interest rate swap - revisitKJ 11 May 2006

Re: Duration of interest rate swap - revisit04 Aug 2006

VaR of an FRBGirish V S 10 May 2006

Re: VaR of an FRBMark Taranto 10 May 2006

Re: VaR of an FRBTom 11 May 2006

Re: VaR of an FRBMark Taranto 11 May 2006

Re: VaR of an FRBmal 11 May 2006

put call parity violation?Tom 10 May 2006

Re: put call parity violation?Perrow 11 May 2006

Re: put call parity violation?Mark Taranto 11 May 2006

Re: put call parity violation?Tom 11 May 2006

FAMA decomposition of returnsFutureFRM 10 May 2006

Re: FAMA decomposition of returnsPerrow 11 May 2006

Re: FAMA decomposition of returnsMark Taranto 11 May 2006

option price correlation with spotsnvk 11 May 2006

Re: option price correlation with spotGlyn Holton 11 May 2006

internally consistentTom 11 May 2006

Re: internally consistentmal 11 May 2006

Re: internally consistentTom 11 May 2006

Re: internally consistentMark Taranto 11 May 2006

Issue Equity WarrantsSonny 11 May 2006

Re: Issue Equity WarrantsMark Taranto 11 May 2006

Re: Issue Equity Warrants11 May 2006

Re: Issue Equity WarrantsMark Taranto 11 May 2006

Newton-Raphson implement on a spreadsheet.Tom 11 May 2006

Re: Newton-Raphson implement on a spreadsheet.Mark Taranto 11 May 2006

Re: Newton-Raphson implement on a spreadsheet.Horseless 11 May 2006

Re: Newton-Raphson implement on a spreadsheet.Glyn Holton 11 May 2006

Re: Newton-Raphson implement on a spreadsheet.Tom 11 May 2006

Stochastic with 0 volatilitytom 11 May 2006

Re: Stochastic with 0 volatilityMark Taranto 12 May 2006

Re: Stochastic with 0 volatilityLowery 12 May 2006

Re: Stochastic with 0 volatilityMark Taranto 12 May 2006

Re: Stochastic with 0 volatilityLowery 12 May 2006

Re: Stochastic with 0 volatilityJG 14 May 2006

Re: Stochastic with 0 volatilityMark Taranto 15 May 2006

Re: Stochastic with 0 volatilityHorseless 15 May 2006

Re: Stochastic with 0 volatilityMark Taranto 15 May 2006

Re: Stochastic with 0 volatilityTom 12 May 2006

Re: Stochastic with 0 volatilityMark Taranto 15 May 2006

Key rates duration: applying key rates duration technique for bond analysisDmitry 12 May 2006

Re: Key rates duration: applying key rates duration technique for...Mark Taranto 12 May 2006

Concavity AdjustmentKrassimir 12 May 2006

Re: Concavity AdjustmentMark Taranto 12 May 2006

Re: Concavity AdjustmentKrassimir 15 May 2006

How to incorporate standard error of regression in VaR using historical simulation12 May 2006

Re: How to incorporate standard error of regression in VaR using ...Krassimir 12 May 2006

Re: How to incorporate standard error of regression in VaR us...12 May 2006

Re: How to incorporate standard error of regression in VaR using ...Krassimir 12 May 2006

Re: How to incorporate standard error of regression in VaR us...12 May 2006

Re: How to incorporate standard error of regression in VaR us...Horseless 12 May 2006

futures options and regular options on currency - whats the benefit?c 12 May 2006

Re: futures options and regular options on currency - whats the b...Mark Taranto 12 May 2006

Bond VaR13 May 2006

VaR for MBS Portfolio15 May 2006

Re: VaR for MBS PortfolioMark Taranto 15 May 2006

Re: VaR for MBS PortfolioGlyn Holton 15 May 2006

Re: VaR for MBS Portfolio15 May 2006

Re: VaR for MBS PortfolioGlyn Holton 15 May 2006

Re: VaR for MBS Portfolio16 May 2006

Re: VaR for MBS PortfolioGlyn Holton 16 May 2006

Re: VaR for MBS Portfolio16 May 2006

Re: VaR for MBS PortfolioGlyn Holton 16 May 2006

Re: VaR for MBS Portfolio21 May 2006

Re: VaR for MBS PortfolioCraig Fen 27 May 2006

Re: VaR for MBS PortfolioAbsolute God 01 Jun 2006

Re: VaR for MBS PortfolioAaron 02 Jun 2006

Re: VaR for MBS PortfolioCraig Fen 27 May 2006

Re: VaR for MBS Portfolio02 Jun 2006

Re: VaR for MBS PortfolioMark Taranto 17 May 2006

VaR for MBS Portfolio15 May 2006

credit exposureBala 15 May 2006

Re: credit exposureHorseless 15 May 2006

Credit TradingJames 15 May 2006

Re: Credit TradingHorseless 15 May 2006

Re: Credit Trading15 May 2006

Re: Credit TradingHorseless 15 May 2006

Re: Credit TradingMark Taranto 15 May 2006

Delta calculation from BS formulaTom 16 May 2006

Re: Delta calculation from BS formulaMark Taranto 16 May 2006

Market riskseemstobe 16 May 2006

Re: Market risk16 May 2006

Delta calculation from BS formulaTom 16 May 2006

Re: Delta calculation from BS formulaMark Taranto 16 May 2006

interest rate modeling vs interest rate forecastingtom 16 May 2006

Re: interest rate modeling vs interest rate forecastingMark Taranto 16 May 2006

Re: interest rate modeling vs interest rate forecastingtom 16 May 2006

Re: interest rate modeling vs interest rate forecastingtom 18 May 2006

Re: Options VaR using Monte-CarloMark Taranto 18 May 2006

Add-onSylvain Franc? 17 May 2006

??????17 May 2006

Re: Add-onHorseless 17 May 2006

Re: Add-onSylvain Franc? 18 May 2006

Equilibrium asset pricing modelsstudent 17 May 2006

Re: Equilibrium asset pricing modelsMark Taranto 17 May 2006

Re: Equilibrium asset pricing modelsstudent 17 May 2006

Re: Equilibrium asset pricing modelsMark Taranto 17 May 2006

How do market makers make money?Apo 17 May 2006

Re: How do market makers make money?Lowery 17 May 2006

Re: How do market makers make money?Mark Taranto 17 May 2006

credit risk vs market risk managementTom 17 May 2006

Re: credit risk vs market risk managementHorseless 17 May 2006

VAR limits fixationVishwas K 18 May 2006

Re: VAR limits fixationJC 22 May 2006

Re: VAR limits fixationGlyn Holton 31 May 2006

Loss Limits FixationVishwas K 18 May 2006

calibrate interest rate latticeApo 18 May 2006

Re: calibrate interest rate latticeMark Taranto 18 May 2006

random walktamra 18 May 2006

Re: random walkMark Taranto 19 May 2006

Re: random walk - Part 2Mark Taranto 19 May 2006

rate volatility impact on pricing of fixed cash flowsApo 19 May 2006

Re: rate volatility impactMark Taranto 19 May 2006

Re: rate volatility impactApo 19 May 2006

Re: rate volatility impactMark Taranto 22 May 2006

Compare bonds with different maturitiesStudent 19 May 2006

Re: Compare bonds with different maturitiesMark Taranto 19 May 2006

JIBARCarol 20 May 2006

Re: JIBARMark Taranto 22 May 2006

GARCH MODELSESHADRI 22 May 2006

International Bond ReturnsLolita 22 May 2006

Re: International Bond ReturnsJC 22 May 2006

Model risk from interest rate latticeEricca 22 May 2006

Re: Model risk from interest rate latticeMark Taranto 22 May 2006

Historical data on currenciesJanna 22 May 2006

Historical . . . .Mark Taranto 22 May 2006

yield curvesApo 23 May 2006

Re: yield curvesMark Taranto 23 May 2006

Risk neutral vs Forward risk neutraltom 23 May 2006

Risk neutral vs Forward risk neutralMark Taranto 23 May 2006

OAS + Remaining Term & Average LifeJessica 23 May 2006

Re: OAS + Remaining Term & Average LifeMark Taranto 23 May 2006

negative basis trade23 May 2006

Re: negative basis tradeHorseless 23 May 2006

Re: negative basis tradeMark Taranto 23 May 2006

Optimal Allocation Software for Calculation of Efficient Frontier24 May 2006

Optimal Allocation Software for Calculation of Efficient FrontierMark Taranto 24 May 2006

Career DirectionIda 24 May 2006

Re: Career Direction24 May 2006

Re: Career DirectionIda 25 May 2006

Index Matching Portfolio ManagementEffie 24 May 2006

Re: Index Matching Portfolio ManagementMark Taranto 24 May 2006

Index Matching Portfolio ManagementMark Taranto 24 May 2006

OptionsLR Perez 24 May 2006

Re: Carrier OptionMark Taranto 24 May 2006

Re: Carrier Option25 May 2006

Historical Simulation VaR for FCCBBala 24 May 2006

Re: Historical Simulation VaR for FCCBMark Taranto 24 May 2006

Step 1 of Monte Carlo simulationErica 24 May 2006

Re: Step 1 of Monte Carlo simulationMark Taranto 25 May 2006

Re: Step 1 of Monte Carlo simulationErica 25 May 2006

Re: Step 1 of Monte Carlo simulationMark Taranto 25 May 2006

Re: Step 1 of Monte Carlo simulationErica 25 May 2006

Re: Step 1 of Monte Carlo simulationMark Taranto 25 May 2006

Re: Step 1 of Monte Carlo simulationErica 25 May 2006

volatility smile/skewtom 24 May 2006

volatility smile/skewMark Taranto 25 May 2006

Re: volatility smile/skewtom 26 May 2006

Re: volatility smile/skewMark Taranto 30 May 2006

Log Normal Distributionakinardi 25 May 2006

Log Normal DistributionMark Taranto 25 May 2006

Anothe certificate path: SOAtom 25 May 2006

ActuariesMark Taranto 25 May 2006

Greeks - single vs array for Spread OptionsTouhami 25 May 2006

Re: Greeks - single vs array for Spread OptionsMark Taranto 26 May 2006

How to aggregate the Greeks into a single numberTouhami 25 May 2006

Credit Risk Model ValidationIda 25 May 2006

Valuing a Strip of OptionsTouhami 26 May 2006

Re: Valuing a Strip of OptionsMark Taranto 26 May 2006

VaR one question about non-fat taileldo 28 May 2006

Re: VaR one question about non-fat tailKrassimir 29 May 2006

Re: VaR one question about non-fat tailMark Taranto 30 May 2006

geometric Brownian motionSN 28 May 2006

Re: geometric Brownian motionKrassimir 29 May 2006

Re: geometric Brownian motionMario Melchiori 29 May 2006

Re: geometric Brownian motionMark Taranto 30 May 2006

optionbishwarup 29 May 2006

Re: optionMark Taranto 30 May 2006

farctional timeSlawek 29 May 2006

Re: farctional timeMark Taranto 30 May 2006

Two bonds with the same OASTom 30 May 2006

Re: Two bonds with the same OASMark Taranto 30 May 2006

Re: Two bonds with the same OASTom 31 May 2006

Re: Two bonds with the same OASMark Taranto 31 May 2006

Barrier Options on commoditiesPablo Sukmann 31 May 2006

Re: Barrier Options on commoditiesMark Taranto 01 Jun 2006

Re: Barrier Options on commoditiesSandipan Ray 02 Jun 2006

Re: Barrier Options on commodities04 Jun 2006

Individual Trader LImitsDennis 31 May 2006

Re: Individual Trader LimitsMark Taranto 01 Jun 2006

Re: Individual Trader LimitsDennis 01 Jun 2006

Re: Individual Trader LimitsGlyn Holton 02 Jun 2006

Re: Individual Trader LimitsMark Taranto 05 Jun 2006