I always thought I would live a “Normal” life, which means, to take the path many walking on. But in reflection I always see God has carefully arrange me on interesting roads. It is more like a Brownian motion than a road being so full of uncommon turns: Hometown –> Hong Kong –> Biochemistry –>… Continue reading The days between jobs
Some reflections in the preparation of FRM
风险 虽然在银行的运营风险部门做了三年， 但我对于风险的概念主要还是负面的。 这段时间备考FRM， 感觉到核心在在于把任何的“不确定性”都定义为风险， 这里的风险就是中性的而且是常态。既然不确定就有风险， 于是， 风险的测量就转化为未来价格波动性。 与大市场线性相关的投资产品， 波动性也就是把大市的波动性按照产品的风险系数放大或缩小， 而非线性相关的期权产品， 波动性则需要更复杂的模型计算。关心风险是因为风险决定了定价。 我们首先来看“无风险”的美国国债的利率，它是没有悬念一定会实现的利率。 在此基础上， 各种投资工具都没有那么牢靠， 于是只能用更高的利率吸引投资者购买。 这个过程就需要量度风险， 并折换成对应的风险红利反映在产品价格上。 时间 首先， 时间会影响价值。 不学金融的时候， 钱是一个固定的数值， 但在金融市场上， 钱的数额要定义在某一时刻的。 从金主的角度来看， 因为作为一个“活跃的金融参与者”我口袋里每一块钱都是开足了小马达为我在以至少是大市利率的速度为我赚钱的。 所以如果有人要问我借钱， 那么一定要给我高于这个利率的补偿。从固定收益产品发行方来看， 无论我产品的名字起得再好， 本质都是许诺给金主未来的现金流。一年以后的一百块， 人家今天把95块存银行就行了，所以人家有银行这个无风险的选项， 今天肯定不会愿意给我超过95元钱。 所以我要参考银行的利率， 把未来每一笔的现金流今天值多少钱都算出来， 就是金主今天愿意借给我的钱， 也就是这个产品的定价。 那么如果我未来许诺给金主的是不是钱， 而是股票、大米呢？ 没有银行利率可以参考， 我该如何定价呢？聪明的你肯定想到了参考现在市场上同类产品的价格。 然而， 与钱不同， 这些物件本身也有价值或负担， 在从现在到未来的这段时间中，股票可能派股息， 大米储存要交储存费， 而其它国家的外汇还会因为汇率变化， 这些因素都要反映在产品的定价中。 其次，时间没到的时候， 定价是审时度势估计出来的 — 为什么期权的原理图中， 与标的物价关系是折线， 但在实际操作中却是一条曲线呢？假设您是期权的买家，当您看打算购买的时候（欧式期权）行权时间还没到。 此时哪怕看到了巨大的利润，也只能作为对未来的乐观判断，一切要到行权时间到了您才能执行。… Continue reading Some reflections in the preparation of FRM
The first impression of Bavaria
Visitor friendly: The friendly people when we asked about the train station, they listened tentatively Old but neat facility: The toilet is clean and the details are very smooth People free: the tea and coffee are freely served without any one “monitoring”, in the play area, we played on touch pad table with interesting games… Continue reading The first impression of Bavaria
I want to be a teacher!
I hope my days are no longer about meeting the regulators requirement or changing the fonts of PPT version 34. I want to experience the joy to summary the knowledge to form a structure. Maybe it is high time to answer my passions to write out science mechanism in plain language to inspire the students… Continue reading I want to be a teacher!
Lunchbox
Recently I am attracted by a new thing to play – preparing lunch boxes and share with friends. There is fun for sure, I also encountered many interesting questions which I hope to address here. Q1: Is it good to eat frozen meal? A: yes and no. By realizing we live in an imperfect world (okay…)… Continue reading Lunchbox
I will be leaving for a while
Dear Reader, I will prepare for an exam during the first half of the year, jumping into exciting topic of Financial Risk Management… hopefully will become a better risk manager/taker by the end of 10 weeks from now on. In the mean time, there will be some transition ongoing in my workplace. With all the new things to come,… Continue reading I will be leaving for a while
Reflections on Hacksaw Ridge
It has been 3 weeks since the movie was released but I think it worth the wait as I finally watch it at China with my parents. It is special to me in many senses. First it is introduced into China and screened at millions of local cinemas. It is quite rare given its strong… Continue reading Reflections on Hacksaw Ridge
Rice and Wheat
In China there is a binary label of ANY food: south and north. And there are a lots of fierce debates on subtle nuances of “spreading sugar or salt on your soy pudding”and “meat or nut into the mooncake?”. But there are also fundamental discrepancy in our food philosophy and even our language. For example: Rice or Wheat? Born in… Continue reading Rice and Wheat
food for flu
Recently I have caught a cold, I can tolerate the the running nose, the headache, and sour throat, but I just can not tolerate the loss of appetite. It is such a torture that when I wake up and find I DON’T WANT TO EAT ANYTHING! It is also difficult to write anything about food… Continue reading food for flu
