Rank: 1275 based on 56 downloads (last 30 days) and 3 files submitted

Vilen Abramov

E-mail: vilen22@yahoo.com
Company/University: KeyBank

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Professional Interests:: finance, model validation, market risk, pricing, derivatives, curve building, simulations

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Files Posted by Vilen					View all 1 - 3 of 3
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
15 Nov 2012		Hurst Exponent Estimation the code uses R/S analysis to derive Hurst exponent Author: Vilen Abramov	hurst, power law, risk weighted assets, var, finance, model validation	27	0
14 Aug 2012		FX Forward This file replicates cross-currency forward pricing using covered interest parity (CIP) Author: Vilen Abramov	forex, forward, arbitrage, interest rate parity, exchange rate, cip	13	0	5.0 5.0 \| 1 rating
31 Jul 2012		Hazard Rate Bootstrapping This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. Author: Vilen Abramov	cds, bootstrapping, hazard, finance, survival, pricing	16	0

Comments and Ratings on Vilen's Files			1 - 1 of 1
Updated	File	Comment by	Comments	Rating
14 Nov 2012	FX Forward This file replicates cross-currency forward pricing using covered interest parity (CIP) Author: Vilen Abramov	Levy, Bob

Top Tags Applied by Vilen	1 - 5 of 23
finance, arbitrage, bootstrapping, cds, cip

Files Tagged by Vilen					View all 1 - 3 of 3
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
15 Nov 2012		Hurst Exponent Estimation the code uses R/S analysis to derive Hurst exponent Author: Vilen Abramov	hurst, power law, risk weighted assets, var, finance, model validation	27	0
14 Aug 2012		FX Forward This file replicates cross-currency forward pricing using covered interest parity (CIP) Author: Vilen Abramov	forex, forward, arbitrage, interest rate parity, exchange rate, cip	13	0	5.0 5.0 \| 1 rating
31 Jul 2012		Hazard Rate Bootstrapping This file bootstraps hazard rates from a series of 1/3/5/7/10-year par spreads. Author: Vilen Abramov	cds, bootstrapping, hazard, finance, survival, pricing	16	0

Currently Watching
Type	Description
File	Two sample Cramer-von Mises hypothesis test
File	FX Forward

Files Matching Vilen's Watch List					View all 1 - 2 of 2
Updated		File	Tags	Downloads (last 30 days)	Comments	Rating
14 Aug 2012		FX Forward This file replicates cross-currency forward pricing using covered interest parity (CIP) Author: Vilen Abramov	forex, forward, arbitrage, interest rate parity, exchange rate, cip	13	0	5.0 5.0 \| 1 rating
16 Nov 2011		Two sample Cramer-von Mises hypothesis test A non parametric test to determine if to independent samples were drawn from the same distribution. Author: Juan Cardelino	statistics	25	14	4.5 4.5 \| 7 ratings

Comments and Ratings Matching Vilen's Watch List			1-5 of 15
Date	File	Comment by	Comments	Rating
29 Nov 2012	Two sample Cramer-von Mises hypothesis test A non parametric test to determine if to independent samples were drawn from the same distribution.	Dan	Which equation in academic reference (1) does the formula for 'CMstatistic' on line 143 refer to? Equation (6) in "On the distribution of the two-sample Cramer-von Mises criterion" looks very different.	Comment only
14 Nov 2012	FX Forward This file replicates cross-currency forward pricing using covered interest parity (CIP)	Bob Levy		5
06 Nov 2012	Two sample Cramer-von Mises hypothesis test A non parametric test to determine if to independent samples were drawn from the same distribution.	Juan Cardelino	I will look into both issues. Thanks for the feedback.	Comment only
06 Nov 2012	Two sample Cramer-von Mises hypothesis test A non parametric test to determine if to independent samples were drawn from the same distribution.	Stuart Layton	In the case that "CM_limiting_stat > z(end)" it is incorrect to report a pValue of 0. Instead it should be reported that p is less than .001	2
06 Nov 2012	Two sample Cramer-von Mises hypothesis test A non parametric test to determine if to independent samples were drawn from the same distribution.	Stuart Layton	Good function! Why does the help documentation show a 4th input argument "tail" that isn't accepted by the function?	4