Richard V. Diamond

Fitch Group

CQF Institute

30 North Colonnade

Canary Wharf

London, E14 5GN

United Kingdom

CQF Institute

CQF Faculty and Research Head

55 Broad Street

New York, NY 10004

United States

SCHOLARLY PAPERS

8

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Scholarly Papers (8)

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1.

Learning and Trusting Cointegration in Statistical Arbitrage

Number of pages: 27 Posted: 22 Feb 2013 Last Revised: 30 Sep 2014
Richard V. Diamond
Fitch Group
Downloads 1,946 (7,648)

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time series decomposition, forecasting, cointegration, equilibrium correction, mean-reversion, Ornstein-Uhlenbeck, spread trading, statistical arbitrage

2.

VIX as a Variance Swap

Number of pages: 3 Posted: 29 Mar 2012 Last Revised: 30 Mar 2012
Richard V. Diamond
Fitch Group
Downloads 1,108 (18,761)

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VIX, volatility, variance swap

3.

Explorations in Asset Returns with Examples in R

Number of pages: 9 Posted: 19 Sep 2015 Last Revised: 20 Sep 2015
Richard V. Diamond
Fitch Group
Downloads 428 (67,621)

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asset returns, projection, histogram, percentiles, Q-Q plot, Normality tests, iid, R

4.

Analysis of Assessment Data from Statistics Courses: Grade Distributions, Surface Learning and Threshold Concepts

Number of pages: 25 Posted: 22 Jul 2011 Last Revised: 06 Aug 2011
Richard V. Diamond
Fitch Group
Downloads 183 (166,038)

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threshold concept, assessment

5.

Portfolio Risk. Analytical Calculations in Matrix Form

Posted: 08 Sep 2015
Richard V. Diamond
Fitch Group

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portfolio risk, marginal contribution, VaR, CVaR, expected shortfall

6.

VAR as a Percentile

Posted: 22 Feb 2013 Last Revised: 07 Mar 2013
Richard V. Diamond
Fitch Group

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VaR, CVaR, expected shortfall, risk estimation, empirical probability density

7.

Threshold Concepts: A Disciplinary Enquiry in Quantitative Finance

Posted: 21 Jul 2011 Last Revised: 22 Aug 2011
Richard V. Diamond and Holly J. Smith
Fitch Group and University College London

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threshold concept, quantitative finance

8.

Moving Incrementally: Change of Core Systems in a Retail Bank - Case Study and Teaching Note

European Case Clearing House, 909-005-1, 909-005-8
Posted: 08 Sep 2009 Last Revised: 10 Sep 2009
Richard V. Diamond
Fitch Group

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RDI, project management, information systems