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Jan 26

Week in Review 260112 Credit Default Swap

Posted by abiao at 11:21 | Review | Comments(0) | Reads(6159)
Time Series Matching with Dynamic Time Warping: a follow-up post for time series matching mentioned in last week.

Risk-Based Dynamic Asset Allocation with Extreme Tails and Correlations: a unique dynamic portfolio construction framework that improves portfolio performance by adjusting asset allocation in accordance with a forecast of market risk.

Problems with Using CDS to Infer Default Probabilities: banking regulations and risk management decisions should not be based on CDS implied default probabilities.

Why Borrowing Rates Should Never Be Tied to Credit Default Swap Spreads: shortfall of doing so.

Systematic Risk and the Cross-Section of Hedge Fund Returns: systematic risk is a powerful determinant of the cross-sectional differences in hedge fund returns.

Returns of the dragon: stock market returns and the Chinese zodiac.

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