Author Topic: Prosper Files 10-Q for Q2-2013  (Read 9834 times)

core

  • Hero Member
  • *****
  • Posts: 1784
  • Your loss is my gain
    • View Profile
Re: Prosper Files 10-Q for Q2-2013
« Reply #15 on: August 27, 2013, 03:13:04 PM »
A bankruptcy should mean returns = -100% (or slightly less if you already received some payments).  This should reduce your average return, increase your variance, and of course decrease your Sharpe ratios.

Yes but it hasn't happened yet.  A single stock could go to zero, even an entire index, but I bet you don't calculate it that way and assume the theoretical worst case?

Fred

  • Hero Member
  • *****
  • Posts: 1421
    • View Profile
Re: Prosper Files 10-Q for Q2-2013
« Reply #16 on: August 27, 2013, 05:27:21 PM »
Are you willing to post those calculations in another thread Fred?

How the ratios are calculated, and how they are used in my risk models, are part of my secret recipe.  Unfortunately, I cannot share more than the fact I use them in my models.

Fred

  • Hero Member
  • *****
  • Posts: 1421
    • View Profile
Re: Prosper Files 10-Q for Q2-2013
« Reply #17 on: August 27, 2013, 05:42:25 PM »
A bankruptcy should mean returns = -100% (or slightly less if you already received some payments).  This should reduce your average return, increase your variance, and of course decrease your Sharpe ratios.

Yes but it hasn't happened yet.  A single stock could go to zero, even an entire index, but I bet you don't calculate it that way and assume the theoretical worst case?

I ran my PnL numbers based on actual cash flows.  So in your case, the unrealized bankruptcy should not impact your portfolio's Sharpe ratios.

Some managers take into account the usual PD, LGD, EAD numbers; LC provides recovery rates -- which can be used as (1 - LGD) -- for various late stages.  If you are using this approach, then you should discount your defaults / BK loans accordingly (even prior to the actual charged-off).  This would impact your Sharpe ratios immediately.
 

rawraw

  • Hero Member
  • *****
  • Posts: 2768
    • View Profile
Re: Prosper Files 10-Q for Q2-2013
« Reply #18 on: August 27, 2013, 08:35:13 PM »
Everyone seems to have a model these days  :P   Well if you ever decide to declassify those sharpe ratios, let me know :)

Randawl

  • Sr. Member
  • ****
  • Posts: 469
    • View Profile
Re: Prosper Files 10-Q for Q2-2013
« Reply #19 on: August 27, 2013, 09:25:23 PM »
I bet my model could beat up your model on the playground!       8)       :P

dontvote

  • Full Member
  • ***
  • Posts: 226
    • View Profile
    • Email
Re: Prosper Files 10-Q for Q2-2013
« Reply #20 on: August 29, 2013, 06:51:00 PM »
I'll bet there are a lot of forum dwellers with secret models that look an awful like a blank sheet of paper or a raving lunatic's excel spreadsheet (LACES OUT). Not singling anyone out in particular.

dontaskmenoquestionsandi'lltellyounolies
dontvote

Interest Radar IRR: 46.11%
NSR ROI: 41.22%
Average Loan Age: Your Moms