Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Mar 1
LABORSTA Internet: View and download data for over 200 countries or territories from LABORSTA, an International Labour Office database on labour statistics operated by the ILO Department of Statistics, excellent!

Estimating the Value-at-Risk: A Comparative Study of the Extreme Value Theory and Transformed Kernel Density Approach: peak-over-threshold (POT) method outperforms the transformed kernel density and the generalized extreme value block-maxima approaches to estimate Value-at-Risk.

Volatility timing and portfolio selection: How best to forecast volatility: the frequency of data used to construct volatility estimates, and the loss function used to estimate the parameters of a volatility model.

Interview: Donald R. van Deventer Risk Management: interview Donald, the Chairman and Chief Executive Officer of Kamakura Corporation, one of the 50 members RISK Magazine Hall of Fame in 2002.

The "Out of Sample" Performance of Long-run Risk Models: This paper studies the ability of long-run risk models to explain out-of-sample asset returns during 1931-2009.

GARP, 2011 Risk Manager of the Year Awarded to Aaron Brown: the 2011 Risk Manager of the Year Award to Aaron Brown, Head of Risk Management at AQR Capital Management, author of the book Red-Blooded Risk: The Secret History of Wall Street

Tags: , , ,
Feb 28
Dr. Donald R. van Deventer is the Chairman and Chief Executive Officer of Kamakura Corporation, the world's leading provider of risk management solutions. His primary financial consulting and research interests involve the practical application of leading Kamakura Corporationedge financial theory to solve critical financial risk management problems. He was elected to the 50 member RISK Magazine Hall of Fame in 2002. Dr. Donald R. van Deventer has served on the editorial board of the Journal of Credit Risk since 2005, and has written numerous papers and several books covering a wide range of risk management.  

Tell us a little background info about yourself. Where are you from? What’s your education background?


I grew up in Los Angeles and was a double major at Occidental College in mathematics and economics.  I went to Harvard University and earned my Ph.D. in business economics in 1977.  The business economics program is a joint program of the Department of Economics and the Harvard Business School.

You had worked for a few financial institutions before founding your own company, what are the advantage and disadvantage of working in a risk solution provider over in the risk management group of a big financial firm, especially for a junior?


If one has the chance to work for a very innovative firm like Kamakura, there’s the challenge and the pleasure of making the state of the art better every day.  Within large financial institutions, a junior risk analyst is often trapped using an old fashioned legacy risk system purchased years before from a mediocre vendor.  That’s bad for one’s career for two reasons.  First, you don’t learn state of the art risk management and you run the risk of turning into a risk dinosaur at a young age. Second, if the firm is not using best practice risk management, the odds of failure are high even at a large bank as we’ve seen in the last five years.

A lot of people blame Copula or Black-Scholes formula for the current financial crisis, what’s your opinion on this debate?


My partner Prof. Robert Jarrow has a nice paper on the misuse of financial models and a video on the front page of the Kamakura web site www.kamakuraco.com on exactly this topic.  Black and Scholes certainly shouldn’t be blamed if an analyst uses the Black model (which assumes interest rates are constant) to price interest rate options.  The incorrect usage of financial models is astonishingly widespread.
Feb 23
Econometric measures of connectedness and systemic risk in the finance and insurance sectors: We propose several econometric measures that can identify and quantify financial crisis periods, and seem to contain predictive power in out-of-sample tests.

Math: Free Courses: Get free Math courses from the world’s leading universities.

Morgan Stanley's Commodity Thermometer:
commodity thermometer
Tags: , ,
Feb 17
Stochastic Volatility Models and the Pricing of VIX Options:  this paper examines and compares the performance of a variety of continuous-time volatility models in their ability to capture the behavior of the VIX.

Finding the best distribution that fits the data: the title tells, select a best fitted distribution among dozens candidates for a given data series.

No-Hype Options Trading: Myths, Realities, and Strategies That Really Work realistic strategies to consistently generate income every month, while debunking many myths about options trading that tend to lead retail traders astray.

RStudio in the cloud, for dummies: run cloud computing version of R with RStudio, cool!
Feb 14
Stochastic Volatility Models and the Pricing of VIX Options is written by Joanna Goard, Mathew Mazur and published in Mathematical Finance. It examines and compares the performance of several volatility models to estimate the VIX, a measure of the implied volatility of S&P 500 index options. You can get access to the paper here.

An accurate estimation of VIX is obviously important given its special role as the fear gauge, there is extensive literature trying to do so, among them, mean-reverting models are especially popular. The authors compare eight different mean-reverting models, with each having different mean reversion speed or diffusion term, specifically, they can be summarized as follows in table 2.1:
volatility mean reversion models
Pages: 14/120 First page Previous page 9 10 11 12 13 14 15 16 17 18 Next page Final page [ View by Articles | List ]