A****s
发帖数: 112 | 1 你的理解不对.
你可以从简单的二叉模型来理解,那个Risk-free portifilio和实际上升下降概率无关,
哪怕实际上期望收益很大(比如99%的概率上升,1%下降),这个portifilio也可以完全对
冲风险.
然后从这个Risk-free portifilio反推出的风险中性概率. |
|
f********y
发帖数: 278 | 2 谢谢！
那你说应该怎么样理解Risk-Neutral Valuation？
比如我们为什么要用Risk-Neutral Valuation定价？
关, |
|
l******i
发帖数: 1404 | 3 Generally speaking, the market chose the risk-neutral measure not us!
For any asset in an arbitrage-free market,
the unique arbitrage-free price exists originally,
which has nothing to do with the pricing method.
Risk-neutral valuation formula helps us to find out the price, just a tool. |
|
L********a
发帖数: 44 | 4 In a arbitrage free market, a derivative can be completed hedged with
another portfolio (or cash flow can be replicated). If you hold the
derivative + the hedge, you earn risk free rate.
So you can discount the two portfolio with risk free rate |
|
m*******r
发帖数: 98 | 5 risk neutral is just an equivalent representation of FTAP.
You can still use risk neutral pricing when the market is incomplete as
long as there are no arbitrage.
portfolio. |
|
c****t
发帖数: 8 | 6 朋友是纯理科背景, 想转行做risk management 方面的工作，不知道这方面的工作侧重
什么样的背景，
有没有熟悉这行的人给说说？ 另外，他想考FRM，请问这个考试对转入risk这行帮助大
吗？ 真心求教，谢谢！ |
|
z****i
发帖数: 406 | 7 Thanks a lot.
Just took a look at Shreve's book. It doesn't seem to be quite obvious to
show the martingale property though.
For ED futures, let F(t; T1, T2) be the time-t future rate (simply
compounded), from T1 to T2.
Let L(t; T1, T2) be the forward Libor rate.
Then we have F(t; T1, T2) is a martingale under risk-neutral measure, so is
the ED futures price of course.
Moreover, F(t; T1, T2) is the expectation of L(t; T1, T2) under risk-neutral
measure.
Future rates are quoted directly from mark... 阅读全帖 |
|
m****s
发帖数: 1481 | 8 谢谢回复。
我随便搜了下工作，貌似risk management比quant更广泛一些，可能其中的一部分用到
数学比较多的算在quant里面，但是也包括其他不那么数学的吧。不知道理解对不对。
或者说quant是应用数学，risk management是其中的一个应用，就像产品定价，quant
trade这样的分类。 |
|
h****n
发帖数: 336 | 9 Risk management to my understanding, is one of the application of
quantitative finance. Actually more about analyzing portfolio sensitivity
movement and evaluate in-house pricing models, for market risk, to be
specific. |
|
p****u
发帖数: 2596 | 10 lol，一般说某人做risk management，基本默认说是在risk group里边把。。。trade
corp bond的人应该一般都不会介绍自己说做riskmanagement...
不和你争文字游戏啊.. |
|
a***r
发帖数: 594 | 11 gossip I heard, Derman was first doing deriv pricing stuff in fix income and
equities.
however, J Aron comod traders climbed to the top over the last couple
decades. The strategiest group came out of J Aron squeezed the original fix
income and equity quants off the front desk.
Derman sort of lost the political fight and moved to firm wide risk which
was a back office post. He finally left.
Risk |
|
m*********g
发帖数: 646 | 12 just curious, is there still big bonus for a risk analyst role? I heard
usually risk people shares little bonus........ |
|
f*******y
发帖数: 988 | 13 工作经验是2年到5年，对应200-300k的话，risk现在2年也有200K了？
risk |
|
l*****h
发帖数: 35 | 14 那看你是 credit risk还是market risk了， 不过bonus都不多 |
|
w**********y
发帖数: 1691 | 15 In my memory, logic is the sample as stochastic volatility. Both the risk
premium from stochastic volatility and risk premium from jump need to be
estimated under R-N measure. And actually they should be derived from some
vanilla product, and then used for exotic product.
I am quite not sure about the above statement. I believe you can find it in
Jim Gatheral's "The Volatility Surface: A Practitioner's Guide (Wiley
Finance)". |
|
s***r
发帖数: 1121 | 16 market default risk premium = long term investment bond yield - long term
treasury bond yield
Then what is the relation between this market default risk premium with
corporate bond credit spreads? I thought it is POSITIVE. Am I correct?
thansk. |
|
n*********y
发帖数: 474 | 17 Yeap, probably will go for MBA several years later... but my only concern
is after my MBA (probably turned to 30 sth), am I still young enough to
switch to sales and trading?
Also, I do prefer to be a manager w/ little money rather than a
sales/trading staff with big money. Of course, if I can just jump into the
new area and meanwhile be a manager, that would be the best scenario. But
does my Credit risk experience really count on the Wall st. side?
Thanks.
want |
|
s**********n
发帖数: 111 | 18 请问在能源公司做credit risk, market risk具体是做些什么东西阿？和在一般银行里
做的有啥区别呢？ 请达人多多指教， 谢谢先！！ |
|
m******2
发帖数: 564 | 19 commodity
vs
interest risk & credit risk |
|
t********a
发帖数: 810 | 20 先不问你为什么想做credit risk, risk means trading desk rejected, 所以你该装
傻时候装傻, 要让人觉得你能挨骂, 能suck up traders' shit, 是个很好的
communicator, 得罪trader没人愿意做的垃圾事你愿意做, trader甩你俩大耳光子你还
能叫爽的那种. 千万别让人家看出来你有去desk的野心.
能这样就差不多了, 你要真是问啥会啥, 谁敢要你啊, 谁知道你是不是两天就跑desk上
去了. |
|
r**m
发帖数: 7 | 21 This risk neutral probability is derived from hedging, and it is just a way
to obtain the price of a call that can also be obtained by replication or
hedging. In the real work, investors are risk averse.
ris
果我
题在 |
|
s*******0
发帖数: 3461 | 22 risk neutral 就是 risk neutral
实际 概率 就是 实际概率 我觉得 不需要调整吧
做多 也就是测度变换 拉挡尼克蒂姆？ |
|
c****7
发帖数: 8 | 23 准备考虑申请market risk，risk monitor，model review等职位。
请问版上有没有在大行工作的同行，或者面试过类似职务的同行。
这类职位应该怎么准备？
面试常用问题有什么？
需要编程知识？准备到什么程度?
面试一般流程？
感谢～ |
|
|
A*****s
发帖数: 13748 | 25 算PD基本两类model
要么是reduced form，也就是regression based
要么是structural model，Merton算一种
不过Merton那个模型太糙了，我正在做的research就是要beat之
关于Structural model你可以看看Moody's KMV的研究文献，和他们的VK model
但是市面上我见过的model都不能推recovery，我倒是想了个办法但是不告诉你 :P
学术界的structural model一大堆，基本都是垃圾
reduced form不是我的茶，所以也没啥了解。
model，只说是做credit risk scorecard / rating model，而且用的编程工具是
matlab或者sas。要计算probability of default和loss given default等metrics。我
觉得这个job应该涉及的是retail cre
点准备哪些modeling方法呢？大家给点意见，谢谢~~ |
|
n******t
发帖数: 296 | 26 不知道发这个版块合适不合适
我想问问有没有什么做risk的professinal专业协会 ，
主要是银行/金融行业，risk management, quantitative modeling /validation方面的
希望是比较正规的，专业的，规格高一点的
请问有没有这样的专业协会？
多谢阿!! |
|
a******s
发帖数: 598 | 27 都说RISK不好，如果做了RISK，
以后可以转些什么方向呢？有什么利弊吗？
谢谢指教 |
|
A*****s
发帖数: 13748 | 28 what kind of risk are you doing?
why risk is 不好? |
|
D********n
发帖数: 978 | 29 LZ, 您咋这个道理都不明白？
你们学科那么好，你为什么还要看finance或者risk management?
因为好挣钱？
为什么你们学科不好挣钱finance或者risk management好挣钱呢？
因为大家不把东西免费贴到网上! |
|
r**a
发帖数: 536 | 30
I want to say that your statement is correct but not applicable to this case
. The reason is as follows:
We know that the portfolio loss can be approximately written as
$$
\delta R+0.5*\gamma R^2,
$$
where $R$ is the rate of return of the underlying stock. So if $\delta(k1)=\
delta(k2)$, then you may say "larger gamma, larger risk". But if $\delta(k1)
\neq\delta(k2)$, how can you say "larger gamma, larger risk"?
In my opinion, we need to use the linear approximation of the portfolio loss
to com... 阅读全帖 |
|
f**********y
发帖数: 54 | 31 您这话答的，学过finance的不知道什么是risk么？
问题是他们需要什么样的background?请问这行的人都有些什么背景？有从back office
跳到risk management的么？ 考过CFA 是否管用？ |
|
A*****s
发帖数: 13748 | 32 问你个最简单的risk问题
PPA法律规定了一个benchmark：所有A以上rating的bond yield的平均
然后bond manager来搞自己的portfolio去beat这个benchmark
你来说说bond manager的risk在哪？ |
|
f**********y
发帖数: 54 | 33 请教这位达人：这两个具体有什么区别呢？
我知道INSURANCE的RISK很多都会HIRE ACTURY。
我其实一点儿RISK的BACKGROUND都没有，就是想看看进这行的可能性有多大。 |
|
O*********e
发帖数: 15 | 34 最近看到版上不少人在讨论Risk Management,但都没意识到Risk的Function涵盖很广，
其工作内容差异很大，一定要具体情况具体分析。切勿一概而论。 |
|
A*****s
发帖数: 13748 | 35 但是一点可以肯定的
risk management不是什么简单可以混饭吃的活
我不明白为什么这么多人有这种误解。。。
总有人说大概这种意思的话：我别的也不会，只能做risk management了 |
|
A*****s
发帖数: 13748 | 36 这个版上我看也就您一天到晚泼皮无赖的judge别人而已。
您找到工作了？啥工作？新东方brain teaser培训师？老刑给开的工资您就别拿出来德
瑟了。
做risk最基本的requirement就是understanding risk，有何不妥？您水平高的给说说？
lol
haven't found a job yourself. |
|
n********6
发帖数: 1511 | 37 PRMIA
www.prmia.org
GARP
www.garp.org
risk management领域有很多很多。总而言之：Business Management is Risk
Management. |
|
n********6
发帖数: 1511 | 38 PRMIA
www.prmia.org
GARP
www.garp.org
risk management领域有很多很多。总而言之：Business Management is Risk
Management. |
|
x******o
发帖数: 2345 | 39 期待你讲credit risk和market risk
尤其是展开说说具体工作的内容
每一段的最后一句写成一段就好了^_^ |
|
Y******u
发帖数: 1912 | 40 I think risk jobs in buy side and in sell side are very different.
I work as risk quant in a top 5 hedge fund. Our team of 4 cover $30b AUM
with global multi asset class. All models and reports are developed in house
(even basic thing like regression algo and option price calculator). |
|
J**********y
发帖数: 1891 | 41 听说VaR不是很有用，对于Equity fund/book来说；
而是基于factor model的，
但我不太清楚具体怎么基于factor model比如BARRA来做这个risk management,
怎么对付jump risk的呢？
还请高人指点。非常感谢。 |
|
A*****s
发帖数: 13748 | 42 其实还是绿书P147页D里来的问题
答案可以明白
但是不知道我这个logic错哪了
r=0的时候，real-world measure就是risk-neutral measure对吧
那么在real-world下，miu=r+MPR*vol (MPR: market price of risk)
r=0 那么 miu = MPR*vol不是0啊？
如果零利率下(日本就是吧？)，所有的asset都是martingale，市场难道不会更喜欢vol
小的asset？大vol的asset难道不需要一些drift来补偿一下？ |
|
k*****y
发帖数: 744 | 43 risk-neutral跟r没什么关系。
MPR等于0了，才是risk neutral吧？
vol |
|
r**a
发帖数: 536 | 44 我比较喜欢 Market Risk Analysis by C. Alexander。不过这书里面没有讲credit
risk。 |
|
r******8
发帖数: 12 | 45 Market Risk Associate Manager position at a large NYC financial company.
Candidates need to present good experience in market risk area (Fixed Income
products, prefer MBS experience), strong VBA skills and hands-on experinece
in developing production models, strong Sql experience, C++ is a plus but
not required. If you are interested, please contact: n*********[email protected]
Regards, |
|
k*****n
发帖数: 117 | 46 人家不是说的很清楚么
is to add value to the corporation through management of Dow's financial
risks mainly in foreign exchange, interest
rates and commodities.
FX, intrest rates, and commodities risk management
this is essential for almost every multinational industrial/manufacturing
corporation |
|
s**z
发帖数: 610 | 47 how closely related are volatility and risk? 这俩东西什么时候 converging 什
么时候diverging?
囧了……我一直以为volatility就可以完全代表risk |
|
m****s
发帖数: 1481 | 48 比如forward这种，既然可以用买asset然后loan risk free 来replicate一个forward
，那为啥还要有forward这个东西。如果underlying 是commodity还好理解，为了满足
未来某种需求比如生产加工。但是stock,interest rate,exchange rate这些，为啥不
能直接用underlying和risk free来组合就好了，而要有forward这个东西呢 |
|
D*****a
发帖数: 2847 | 49 用risk neutral measure是因为方便
假设no arbitrage，并且假设underlying asset价格给定
那么无论你risk aversion是多少，那些redundant assets的价格都是一样的
55% |
|
p***a
发帖数: 78 | 50 银行里risk IT 职能是指的什么？ 管开发risk 程序的？ |
|
