Personal website of Aurélien Vermylen

Fooling around with Gauss

Recently, I think I developed a quite new approach to estimate the distribution of the overlapping backtest pass rates of a brownian motion process over a certain threshold. Say w00t? Read on for explanations…

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Cross-sectional methods for Proxy Credit Spreads

“Nomura” method

Recently, I’ve been working on the so-called “Nomura” method for proxy credit spreads (see this paper). The paper, published in February 2013, basically proposes to model a credit spread by a multiplication of different factors:

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