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    • Filtered historical simulation

      How some clearing corporations compute margins for options

      Posted on May 22, 2020

      Historical simulation (HS) has been one of the most popular ways of measuring Value at Risk (VaR) in financial institutions. Originally popularized by JP Morgan’s RiskMetrics document and then picked up by the Basel Committee on Banking Supervision (BCBS), the idea is grounded in the belief that knowing history is... [Read More]
      Tags:
      • clearing
      • derivatives
      • fhs
      • margins
      • value at risk
    • So Long, Marianne

      R.I.P Leonard Cohen

      Posted on November 13, 2016

      [Read More]
      Tags:
      • music
    • Finance without spreadsheets

      Posted on March 31, 2016

      As part of the syndicated “View from IIMA” series, my article appeared in livemint yesterday. Here is the unabridged version with hyperlinks. [Read More]
      Tags:
      • open-source
      • python
      • r
      • spreadsheets
    • Normalizing to a benchmark

      Posted on April 7, 2015

      One often needs to compare data across samples, say, when one or more samples constitute a benchmark. For example, consider comparing interview scores across panels when one of the panels is considered to be the benchmark. [Read More]
      Tags:
      • benchmarking
      • normalizing
      • statistics
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