Posts Tagged ‘ market risk ’

Top 10 reasons for a modeler to learn PROC FCMP

March 9, 2012
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Top 10 reasons for a modeler to learn PROC FCMP

10.  New financial functions 34 pre-compiled financial functions were shipped with SAS for free, which can be called in DATA step. 9. A management GUI There is a nice-looking Java-powered GUI to manage the user-defined functions: SAS FCmp functi...
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Rolling regressions for backtesting

March 2, 2012
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Rolling regressions for backtesting

Market always generates huge volume time series data with millions of records. Running regressions to obtain the coefficients in a rolling time window is common for many backtesing jobs. In SAS, writing a macro based on the GLM procedu...
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Create Nelson-Siegel function for yield curve

October 7, 2011
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Create Nelson-Siegel function for yield curve

U.S. Treasury bonds with maturity ranging from 1 year to 30 years are daily updated on the Treasury’s website. However, some yields, such as from 4 years maturity bond, have to be inferred. The Nelson-Siegel function is probably one of the most impor...
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Create Nelson-Siegel function for yield curve

October 7, 2011
By
Create Nelson-Siegel function for yield curve

U.S. Treasury bonds with maturity ranging from 1 year to 30 years are daily updated on the Treasury’s website. However, some yields, such as from 4 years maturity bond, have to be inferred. The Nelson-Siegel function is probably one of the most impor...
Read more »

Tags:
Posted in SAS | Comments Off

Create Nelson-Siegel function for yield curve

October 7, 2011
By
Create Nelson-Siegel function for yield curve

U.S. Treasury bonds with maturity ranging from 1 year to 30 years are daily updated on the Treasury’s website. However, some yields, such as from 4 years maturity bond, have to be inferred. The Nelson-Siegel function is probably one of the most impor...
Read more »

Tags:
Posted in SAS | Comments Off

Using PROC COPULA in a more volatile market

August 14, 2011
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Using PROC COPULA in a more volatile market

The last week witnessed one of the wildest fluctuations in the market. Copula could measure the nonlinear dependence of multiple assets in a portfolio, and most importantly, is pronounced as \`kä-pyə-lə\(Thanks to the tip by Rick). The latest COPUL...
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Using PROC COPULA in a more volatile market

August 14, 2011
By
Using PROC COPULA in a more volatile market

The last week witnessed one of the wildest fluctuations in the market. Copula could measure the nonlinear dependence of multiple assets in a portfolio, and most importantly, is pronounced as \`kä-pyə-lə\(Thanks to the tip by Rick). The latest COPUL...
Read more »

Tags: ,
Posted in SAS | Comments Off

Using PROC COPULA in a more volatile market

August 14, 2011
By
Using PROC COPULA in a more volatile market

The last week witnessed one of the wildest fluctuations in the market. Copula could measure the nonlinear dependence of multiple assets in a portfolio, and most importantly, is pronounced as \`kä-pyə-lə\(Thanks to the tip by Rick). The latest COPUL...
Read more »

Tags: ,
Posted in SAS | Comments Off

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