Václav & Me | 55 comments (55 topical, editorial, 0 hidden)

Re: Here is his response to mine... (none / 1)

about the only one we can compute daily with existing computing power (I guess this is the same everywhere: it's just one giant matrix multiplication, and this is very efficient)

I could suggest a correction to this in public, but then I'd have to kill you ;-)

Can the last politician to go out the revolving door please turn the lights off?

by Carrie (migeru at eurotrib dot com) on Fri Jun 22nd, 2007 at 09:34:38 AM EST
[ Parent ]

Re: Here is his response to mine... (none / 0)

Now this gets interesting...

Do you suggest that there are places where the computing power is much greater than the average bank (that I know, my previous job had more computing power than meteo france and the french dod combined, my new place is a lot more frugal), or that your fund developed some non-gaussian models of risk that can be valued as efficiently as the gaussian with "reasonable" computing power ?

Pierre

by Pierre on Fri Jun 22nd, 2007 at 10:01:56 AM EST
[ Parent ]

Re: Here is his response to mine... (none / 0)

No, I'm just saying the guy whose page I linked to upthread seemed enamored with "elliptical distributions" which are parameterised by mean, covariance, and a probability distribution for the Mahalanobis distance, which allow most of the multivariate "Gaussian" matrix algebra to be recycled, and are general enough to incorporate fat tails if necessary.

Can the last politician to go out the revolving door please turn the lights off?

by Carrie (migeru at eurotrib dot com) on Fri Jun 22nd, 2007 at 10:09:13 AM EST
[ Parent ]

Re: Here is his response to mine... (none / 0)

Wow, sounds nice. Unfortunately, probably too unconventional for most statistics graduates recently hired in quant teams to pay any attention: considering that it will dog the front business, banks only want to look into something "incremental" to handle the fat tails (that is, some cheap ugly patch of the existing var system that you can recode with a couple of interns). Is the guy working in industry ?

Pierre

by Pierre on Fri Jun 22nd, 2007 at 10:15:57 AM EST
[ Parent ]

Re: Here is his response to mine... (none / 0)

Yes, he is in charge of a big chunk of risk model development for a large investment bank.

Can the last politician to go out the revolving door please turn the lights off?

by Carrie (migeru at eurotrib dot com) on Fri Jun 22nd, 2007 at 10:19:32 AM EST
[ Parent ]

Re: Here is his response to mine... (none / 0)

And will they ever disclose the new prudential requirements they get with his model to their share holders ? that is, if he gets a working VaR before the shit hits the fan and everybody knows they're broke ...

Pierre

by Pierre on Fri Jun 22nd, 2007 at 11:15:18 AM EST
[ Parent ]

Václav & Me | 55 comments (55 topical, 0 editorial, 0 hidden)

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