Quantitative finance collector
C++ Matlab VBA/Excel Java Mathematica R/Splus Net Code Site Other
Jan 26

Week in Review 260112 Credit Default Swap

Posted by abiao at 11:21 | Review | Comments(0) | Reads(5150)
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.



Add a comment
Emots
Enable HTML
Enable UBB
Enable Emots
Hidden
Remember
Nickname   Password   Optional
Site URI   Email   [Register]