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Old 18-03-2012, 09:24 AM
Anonymous Anonymous is offline
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Originally Posted by Unregistered View Post
I realise that I did bark at the wrong tree, we need risk-averse people like you to be in civil service. Even armed with financial engineering, you are still convinced of your risk-free returns is better than risk-adjusted returns in MNCs. Looks like you should have studied masters of public adminstration.
Perhaps I should be thankful, we need people like you to maintain the current bureaucratic regime, while the bold, the entrepreneurial risk-taker conquer the world.

Talking about applying your financial engineering skills, perhaps you should solve this problem of default probability using gaussian copula function to model the risk of Nth to default (p/s : you need a super-computer to solve this, because there are thousands of reference entities, skewed stochastic vol curve, and since this is long-dated, forward interest rates are stochastic too!)
What makes you think im still going to be in service. in fact that is most likely changing in a couple of weeks. However, even as i leave, i recognise the benefits of being in service that I will be giving up; that includes the benefits (had i eventually became a director/div director) such as the steady income stream and work/life balance, among other things. There is no need to put down others even if one picks a different route.

Again, there is no need to tell me about copulas and credit risk since im FE. The stochastic nature of credit risk can be simplified via conditional probability on gaussian RV, and the resultant integral can be solved simply using gauss hermite quadrature. Personally, i doubt people in the industry bother to model the forward interest rates stochastically. I won't if i were them as there is not much added value. A deterministic interest rate curve would be good enough. If things change, run again. So a normal PC will do. No need to be cheem for the sake of being cheem.

Last edited by Anonymous; 18-03-2012 at 09:27 AM.
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