Tag Archives: finance quant

Counterparty Risk

Say you find a sucker and you make a bet with him. A bet that is so good for you and so bad for him that you can barely believe he signed on to it. You are smirking inside and … Continue reading

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Pricing Risk

“Pricing” risk means, in part, assessing the probability of some sh*tty outcome. Like, “Well, Baggins, what are the chances that… interest rates move against us?” the company defaults on its debts?” a chain reaction based in the debts of South … Continue reading

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Pricing Risk

“Pricing” risk means, in part, assessing the probability of some sh*tty outcome. Like, “Well, Baggins, what are the chances that… interest rates move against us?” the company defaults on its debts?” a chain reaction based in the short-debts of South … Continue reading

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Stat Arb

The point of statistical arbitrage is to make markets consistent. For example, if GBP trades against USD at 2:1, and USD trades against JPY at 10 000:1, then GBP had better be trading against JPY at 20 000:1 !! ! Anything else wouldn’t … Continue reading

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Stat Arb

The point of statistical arbitrage is to make markets consistent. For example, if GBP trades against USD at 2:1, and USD trades against JPY at 10 000:1, then GBP had better be trading against JPY at 20 000:1 !! ! Anything else wouldn’t … Continue reading

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CAPM assumes a positive correlation between risk and reward. The exact opposite is true with value investing. If you buy a dollar bill for 60 cents, it’s riskier than if you buy a dollar bill for 40 cents, but the … Continue reading

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When the price of a stock can be … set at the margin by the most emotional person, or the greedist person, or the most depressed person, it is hard to argue that the market prices rationally. Warren Buffett

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