@v - i try not to be a 'wow-ist' but am overcome. Wow.
Garbage cleaners. Useless.
I'll take wisdom from any source and test it. In finance, it would seem some of the best wisdom is that which everyone else thinks is garbage.
In general, i'll try to keep my opinion of sources as clean as possible so i don't miss them in this loose jumble of my i sometimes call mind.
Bayes' theorem
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Maggette
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Bayes' theorem
@vertigo
I think your perspective about users on this phorum is a bit limited.
You probably worked in bigger institutions...but there are a LOT of smaller and sophisticated players out there who don't do risk-management in order to comply to regulatory nonsense...but to actually manage the risks on their books!
I never thought about bayesian methods in in derivatives pricing....
But there is still a lot left in the finance industry, that is neither pricing derivatives nor corporate risk management for complicane reporting.
By goldoracks quite knowledgeable posts about the pitfalls of backtesting strategies I assume he is from that part of the industry. I learned stuff from him...
I think to a practioner it is rather obvious where frequentist and bayesian methods complement each other well and where one of the two is more instructive. My experience in energy trading, the bayesian stuff was rather helpful...and in some cases the only way to do at least something....
You can do things with a bayesian approach that you can't do with a frequentist. Frequentist stuff is still the way to go in many use cases, but often it does not do the trick....Use both when appropriate. Everything else is rather academic bickering.
I think your perspective about users on this phorum is a bit limited.
You probably worked in bigger institutions...but there are a LOT of smaller and sophisticated players out there who don't do risk-management in order to comply to regulatory nonsense...but to actually manage the risks on their books!
I never thought about bayesian methods in in derivatives pricing....
But there is still a lot left in the finance industry, that is neither pricing derivatives nor corporate risk management for complicane reporting.
By goldoracks quite knowledgeable posts about the pitfalls of backtesting strategies I assume he is from that part of the industry. I learned stuff from him...
I think to a practioner it is rather obvious where frequentist and bayesian methods complement each other well and where one of the two is more instructive. My experience in energy trading, the bayesian stuff was rather helpful...and in some cases the only way to do at least something....
You can do things with a bayesian approach that you can't do with a frequentist. Frequentist stuff is still the way to go in many use cases, but often it does not do the trick....Use both when appropriate. Everything else is rather academic bickering.
Ich kam hierher und sah dich und deine Leute lächeln, und sagte mir: Maggette, scheiss auf den small talk, lass lieber deine Fäuste sprechen...
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nikol
- Posts: 0
- Joined: Thu Jan 01, 2004 12:00 am
Bayes' theorem
Intuitively Distance to Default is closest to cancer.
Must be something about good stress test for the Lehman B. which defaulted few months later.
Must be something about good stress test for the Lehman B. which defaulted few months later.