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12

Asking questions like "what is your sharpe ratio" is, IMO, not a good idea. Ask questions that demonstrate your interest in making their firm a success. What markets do you trade? (you listed this one) Describe the firm's high-level process for taking an idea, developing a model, and moving it into production. What constraints do you place on new models? ...


6

CVA desks are not front office as they have no dealings with external clients. They can be considered "smart middle office" as they are a necessary part of the plumbing to facilitate the core activity of the bank, which is to trade as many derivatives as possible with clients, all of whom have varying levels of credit risk. Essentially, it allows traders in ...


4

In principle you could say they mainly do risk management on bank level, but also make $ on the way trading out the counterparty risks. Quoting a post in Willmott: "here's how you make profits on a CVA desk. 1) you get paid by an internal desk to cover their c/p risk. you stay long and the credit tightens... you make money (similar to #2 below) 2) Prop ...


4

Overnight funding is made through an auction, a fixing as you name it and it is achieved successfully (usually, i.e. when Lehman Brothers doesn't go bankrupt) because of the huge amounts on BOTH sides of this auction (i.e. liquidity). If you do an auction every minute, you will have more volatility as prices will potentially vary every minute and there will ...


4

First point to consider : some banks are by nature "positive" in their account to the central banks , for instance classical saving banks tend to get more deposit than loans; conversely others are more engage in loans activity (investments banks..) and are by "nature" borrowers on Interbank markets. Secondly (the point you underestimate), mandatory ...


3

Per the comments and conversation with Tal in chat, this question is on-topic. Therefore, I'll formally take a stab at answering it. I had to deal with requests like this when I was a research analyst at the Federal Reserve. If you can't find anything via internet searches, the best thing to do is call institutions that may know where to find the data. ...


2

In some banks the CVA desk is not expected to make profits (or losses). If they are having profit it is because they are overcharging CVA from other internal desks (and hence making those desks less competitive to external clients). If they are making losses it is because they are not pricing correctly the CVA (and therefore not able to buy enough hedges ...


1

"Capital requirements" is a misnomer as a minimum quota is not being placed on liabilities thus equities but on assets. Banks are required by most national laws to hold a portion of assets "in reserve", cash or deposits at the banknote issuer, a central bank. A reason why one bank might have a deficit of reserves is because it has met with withdrawals in ...


1

The interbank rate probably isn't reasonable given your second example. However, between the constant capital flows going back and forth between thousands of banks on a daily basis and the asymmetric nature of the banking model, it's difficult and unrealistic to determine a fair market rate between the two parties. As far as I'm concerned, bank A got the ...


1

The answer to this is, unfortunately, not straightforward due to the number of moving parts and no strong reference point. These types of interest rates can vary highly -- which, during the course of your studies, you will discover is partly a function of the risk-free rate and the risk-premium the project attracts with respect to similar projects. There is ...


1

Markit is a pretty good source for CDS information, and their prices are pretty much the standard the industry goes by. Your best bet for finding large spreads would be to look at some of the European Banks or possibly TEPCO after the Japan Tsunami. Derivatives by default aren't "standard," the instruments are designed to be flexible, but the closest ...


1

You want to know about their recent staff turnover and hiring rates. You want to be at a place that is both stable and growing slowly, and doesn't hire and fire employees (overlapping but distinct criteria). On the first point, I would avoid new and fast growth firms unless you don't mind being fired in a year since you were hired liberally and the growth ...


1

Here's a little bit of everything. 1) Some papers on foreign reserves that are used to defend a country's currency, and the flexibility of their exchange rate: http://www.imf.org/external/pubs/ft/wp/2001/wp0118.pdf http://www.eusanz.org/pdf/conf04/choi_baek.pdf 2) Some papers on generic modeling of exchange rates: ...



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