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Recent content by PatM

  1. PatM

    [Oct 26, 2013] Modeling competition 10/26/13 (New York, NY)

    www.modeloff.com Perhaps too simple for MFEs, but first place is $30k.
  2. PatM

    general comments on MFEs in buy side mag

  3. PatM

    Risk Management System

    There are lots of these: www.dmoz.org/Business/Management/Software/Risk_Management For equity: Barra, RiskMetrics, Sungard APT, Northfield, Axioma For fund of funds: FinAnalytica, Measurisk, RiskData, RiskMetrics
  4. PatM

    Washington University in St. Louis MS Finance

    That's where I went to school. Stick with Phil Dybvig - he's the best guy there, super smart, and connected on Wall Street. Guofu Zhou is also quite good, but not as connected. As far as placement, I made it to Wall Street, so there you go. They also put people in Chicago, and some locally in...
  5. PatM

    VaR with monte carlo

    hist sim - hidden assumption about distribution Hist sim is often said to be non-parametric. This is true because the distribution is not stated explicitly by the modeler with parameters; you just take whatever the distribution was in the past. But this history still has parameters - they are...
  6. PatM

    Sharpe Ratio Question

    He's right - without the risk free rate, it's not really a Sharpe ratio. It's more like a coefficient of variation. www.stanford.edu/~wfsharpe/art/sr/sr.htm Also, how you annualize depends on how you are bearing risk - if you are holding a position even on the days you don't trade, you have...
  7. PatM

    calculus of variations

    Robert Almgren and Neil Chriss used a technique from the calculus of variations in an important paper on program trading a couple of years back. www.cims.nyu.edu/~almgren/papers/riskbid.pdf http://corp.bankofamerica.com/publicpdf/equities/Bidding_Principles.pdf
  8. PatM

    questions on bond

    sort of a big topic That is sort of a big topic for a chat board. Basically, you take the pricing equation for a bond, and vary the inputs to get an expected distribution for the price of the bond (or portfolio) over some time horizon. For one day horizons, the inputs to vary are the rates in...
  9. PatM

    GARCH Covariance?

    I can only remember now author Carol Alexander as a reference. I don't have it in front of me.
  10. PatM

    Import data to Access

    not really an answer This is not really a complete answer, but there is an O'Reilly book called Integrating Excel and Access which you can copy VBA code out of, which does this. http://oreilly.com/catalog/9780596009731 http://books.google.com/books?id=OnqWuCPgLUkC&dq=integrating+excel+and+access
  11. PatM

    How do we model stochastic Correlations?

    even more I find this interesting. Can we generalize this to a correlation matrix? There are even more restrictive boundaries on the possible correlation of assets B and C once the correlations of A and B, and A and C, are known. I don't know what a matrix generalization of this would look...
  12. PatM

    Fin Eng vs Actuarial vs Risk Mgt

    Actuaries have a very long history with insurance companies. They are the primary drivers at setting insurance rates, and if you want to work in insurance, it's a great foot in the door. Risk management started at the largest banks (cf. Riskmetrics and JP Morgan), estimating how much could be...
  13. PatM

    Where do you buy your technical/text books?

  14. PatM

    new quant fin critique - Lecturing Birds on Flying by Pablo Triana

    Lecturing Birds on Flying by Pablo Triana. I just looked at this over the weekend at Barnes and Noble - it looks like it was just released. This is a good summary of the case currently circulating out there against quantitative financial modeling. It is written by a follower of Taleb...
  15. PatM

    Excel spreadsheet problem

    Yes, or multiply them all by 1. If you hit Ctrl-1 while on a cell, the 'format cells' popup window will tell you what data type it is.