Homunculus Reticulli

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visits member for 2 years, 4 months
seen Mar 20 at 7:50

Dec
22
awarded  Tumbleweed
Dec
15
asked (Free) end of day historical data source for FTSE 350 sector indices
Dec
9
comment Securitization of a loan portfolio
+1 for the detailed explanation and schematic. Is there a "Securitization 101" type book you could recommend, that explains the technical, no-legal (i.e. modelling aspect) of securitization?
Dec
9
accepted Securitization of a loan portfolio
Dec
5
comment Securitization of a loan portfolio
@jeffm: Getting slight of my depth here .. so I'll tell you the end goal, and then hopefully, (you) or someone can tell me how to get there. Given a loan portfolio (consisting of 10ks of smaller sizee loans of different risk classes and tenors), I want to "slice" into larger issue sized bonds with predefined risk ratings and tenors. Ideally too, I'd like to hedge the interest payments against a major (say USD). My question is: what would be the steps involved in this securitization (repackaging of interest receipts)?
Dec
4
revised Securitization of a loan portfolio
added 1 characters in body; edited tags
Dec
4
comment Securitization of a loan portfolio
@jeffm: Not sure I understand your comment. I already stated that the loan book will be "sliced up" (i.e. diced into tranches) using the three 'attributes' I mentioned in my question. Is there some relevant information you feel I am leaving out?
Dec
4
asked Securitization of a loan portfolio
Nov
30
awarded  Yearling
Sep
25
awarded  Popular Question
May
8
awarded  Notable Question
Feb
24
accepted Taylor series expansion (Volatility Trading book) explanation sought
Feb
24
comment Taylor series expansion (Volatility Trading book) explanation sought
Ok, I finally got it phew. Thanks
Feb
23
comment Taylor series expansion (Volatility Trading book) explanation sought
Thanks. +1 for the effort. I now get the first part of the derivation. I am trying to understand the theta derivation (i.e. derivation wrt time), and how that leads to the final equation presented in 1.3
Feb
21
revised Taylor series expansion (Volatility Trading book) explanation sought
Added latex formatting
Feb
21
asked Taylor series expansion (Volatility Trading book) explanation sought
Nov
30
awarded  Yearling
Nov
28
accepted Calculating portfolio VaR for (custom) leveraged products
Nov
22
comment Calculating portfolio VaR for (custom) leveraged products
Thanks for the link. The assets I am trading are equity, equity indices, commodities and forex. I suspect that for equity (and equity indices), I can model returns using a GBM model?. Regarding implementing f(x), I'm not sure I understand what you mean - could you please clarify what further information you require?
Nov
22
comment Calculating portfolio VaR for (custom) leveraged products
Thanks for the answer. I could do with a little more detail however. In particular, I am not sure which model to use to generate future returns - a suggestion would be helpful. Additionally, I am not sure how to implement f(x). Please clarify.