There are lots of these:
Barra, RiskMetrics, Sungard APT, Northfield, Axioma
For fund of funds:
FinAnalytica, Measurisk, RiskData, RiskMetrics
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...
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...
He's right - without the risk free rate, it's not really a Sharpe ratio. It's more like a coefficient of variation.
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...
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.
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...
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.
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...
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...
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...