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A Day in the Life of a Quantitative Portfolio Manager

CQF alumnus, Michael Althof gave a recent talk on ‘A Day in the Life of a Portfolio Manager’ – discover what he had to say about this career.

CQF Institute
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A Markovian Model of Default Interactions: Comments and Extensions

This article analyses Davis and Lo (2001b) enhanced risk model, which is a dynamic version of the popular market model of infectious defaults of Davis and Lo (2001a).

Vladyslav Putyatin, David Prieul, Svetlana Maslova
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Swaptions: 1 Price, 10 Deltas, and … 61/2 Gammas*

This article compares simple risk measures (first and second order sensitivity to the underlying yield curve) for simple instruments (swaptions).

Marc Henrard
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The Chemistry of Contagious Defaults

In this article, the authors have obtained a dynamical Markovian model of default interactions that describes portfolio’s dynamics endogenously through the mechanism of chemical reactions.

Vlad Putyatin and Svetlana Maslova
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Forecasting the Yield Curve with S-Plus

In this paper, Dario Cziráky, shows how to implement the Nelson-Siegel and Svensson models using non-linear least squares and how to obtain standard errors and confidence intervals for the parameters, which proves to be useful in assessing the goodness-of-fit at specific points in the term structure, such as at the events of non-parallel shifts.

Dario Cziráky
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Rootless Vol

Kent Osband discusses the Brownian motion in this Wilmott article.

Kent Osband
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Building Your Wings on the Way Down

Aaron Brown discusses financial risk in this article from Wilmott Magazine.

Aaron Brown
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Introduction to Variance Swaps

The purpose of this article is to introduce the properties of variance swaps, and give insights into the hedging and valuation of these instruments from the particular lens of an option trader.

Sebastien Bossu
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Order Statistics for Value at Risk Estimation and Option Pricing

We apply order statistics to the setting of VaR estimation. Here techniques like historical and Monte Carlo simulation rely on using the k-th heaviest loss to estimate the quantile of the profit and loss distribution of a portfolio of assets. We show that when the k-th heaviest loss is used the expected quantile and its error will be independent of the portfolio composition and the return functions of the assets in the portfolio.

Frederik Herzberg & Christoph Bennemann
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A VaR-based Model for the Yield Curve

An intuitive model for the yield curve, based on the notion of value-at-risk, is presented. It leads to interest rates that hedge against potential losses incurred from holding an underlying risky security until maturity. This result is also shown to tie in directly with the Capital Asset Pricing Model via the Sharpe Ratio. The conclusion here is that the normal yield curve can be characterised by a constant Sharpe Ratio, non-dimensionalised with respect to √T, where T is the bond maturity.

Ruben D. Cohen

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