L.M.Carver (@risk_carver) 's Twitter Profile
L.M.Carver

@risk_carver

Senior Staff Writer & Deputy Technical Editor at Risk magazine. Recovering mathematician. Opinions mine RTs not endorsements etc and so on

ID: 259650008

linkhttp://risk.net calendar_today02-03-2011 09:27:50

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I finally get around to setting up an autocorrect to put the accents in Societe Generale, and they decide to take them off!

L.M.Carver (@risk_carver) 's Twitter Profile Photo

Good paper on local correlation by Julien Guyon. Here's my introduction, with one of my better headers: risk.net/risk-magazine/…

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Congressional Republicans are wondering why their wasn't a C/B analysis for Volcker. "We did, kinda," say regulators risk.net/risk-magazine/…

L.M.Carver (@risk_carver) 's Twitter Profile Photo

Difficult to compare FVA numbers depend on methodology and portfolio moneyness, but DB number feels low to me. Pure speculation, of course

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Jon Frye at the FRB Chicago reckons all the bells and whistles of LGD models add nothing statistically risk.net/risk-magazine/…

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Reckons using a plain old Vasicek distribution function with realised estimates for PDs is just as good risk.net/risk-magazine/…

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...and Barclays's Vladimir Piterbarg (2 time Risk quant of the year) is back on collateral choice CSAs risk.net/risk-magazine/…

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Looks at various methods of pricing embedded options in CSAs. Trick making rates conditionally independent best risk.net/risk-magazine/…

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Emir woes deepen - some corporates still waiting for connection to DTCC, and have stopped trading swaps as a result: bit.ly/McttDG