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visits member for 2 years, 3 months
seen Oct 12 at 16:47

Sep
8
comment Different interim balances when calculating annual compound interest different ways
Exactly what I was looking for, thanks. Also, my use of "variance" is the jargon for my industry, although I understand where you're coming from.
Dec
9
comment Securitization of a loan portfolio
Not offhand, in my opinion you're better off looking for industry primers based on the specific securitizations that have been brought to market. Just googling around for <insert i-bank in that market> clo/cmbs/etc. primer should yield some results.
Dec
6
comment Single Most Important Fact about a Fund - Interview Question
Is this a ponzi scheme?
Dec
5
comment When did volatilities start to smile in capital markets?
I imagine it was always there, that was just when it became apparent current models didn't account for it.
Dec
5
comment Securitization of a loan portfolio
Yes. Tranching isn't as simple "slicing up" assets, unless you're just asking if higher tranches in the bond are safer because they have higher ratings, better collateral, and typically larger balances. Then the answer is yes. Otherwise, are any tranches pari-passau, what kind of waterfall is there(pro-rata, straight, etc.), are they grouped, subordination levels, etc.
Dec
4
comment Securitization of a loan portfolio
You never described the tranches, nobody will be able to give you a decent answer until you do.
Oct
22
comment Valuation of Mortgage Backed floating notes
Are you valuing commercial or residential backed securities?
Oct
7
comment Obtaining the default probability and recovery rate for each credit rating?
Also, you have the relationship in the wrong direction. The rating, in addition to many other factors, is based on the probabilities of default, etc. not the other way around. The company will be downgraded far down the scale before the event happens, so a current(good) rating won't tell you much on default probability or loss given default.
Oct
7
comment Obtaining the default probability and recovery rate for each credit rating?
I think you need to greatly narrow the scope of your question - as it stands you're asking for a textbook. There are many credit ratings providers, and they aren't equal nor are their ratings quantitative. "Each" credit rating entails 61 ratings if you're only talking about Fitch/Moodys/S&P.
Oct
3
comment Does it make sense to apply complicated mathematics to calculate with precision when the margin of error is +/-10%?
I think it's more appropriate for a meta discussion, and there is lack of a clear question(what particular margin of error is comfortable for a given calculation and how to arrive at it, etc.). But I'd say it's certainly a problem many of us face in our work.
Sep
28
comment Adjusted option prices?
To get a proper IV you would need the underlying price at the time the option traded.
Jul
31
comment How do you handle order tracking (without unique Lot ID's)
I like suggestion 1 if the only info you get is what you provided. Salting the hash will take care of duplicate hashes(if possible)
Jul
23
comment Valuation of a Sinking Bond Fund
@jessica I initially read your question as though you already knew how to price the bond, my mistake. Added some more info on pricing.
Jul
18
comment Recovery rate in a structured bond
These are all details you should have included in the initial post, I think I finally have an idea of what your question is - I'll do my best to answer after I get some work out of the way.
Jul
17
comment Recovery rate in a structured bond
Is there any particular reason you want to model the recovery rate? I think you're getting offtrack by trying to apply "standard" recovery rates, not to mention it's a very poor way to estimate a cash flow imo. My advice would be to forget about estimating a recovery rate and instead go after what you really want - estimating the cash flow and then arriving at the recovery rate. Is your dataset precluding you from doing it this way?
Jul
16
comment Recovery rate in a structured bond
I'm not sure what you're getting at with the first bullet - in the solvency case the coupon + principal is paid, in the default scenario only the recovery is paid. How are you getting a higher payoff from the default? Also, "structured bond" is quite ambiguous, could you elaborate more on the class of bond you're trying to model?
Jul
8
comment How can you convert the CUSIP of a bond issue to the CUSIP of the company's stock/
As is this question is misleading. What you're asking for is either a mapping(which I wouldn't expect to match your portfolio in the unlikely case someone hands their mapping over) or someone to give you the program they wrote - I don't either happening(for free) given the nature of this industry.
Jun
19
comment Is there a name for, or any research on, a system where you try to predict future price by finding a similar price history in the past?
Cycles, Elliot Wave principle, etc. In my opinion it's a dumb idea since regimes, the actual market participants, technology, etc. are so vastly different you'll never have the same "window" twice.
Jun
3
comment FRA-Strategy: Make 3-month and 1-year Excess returns comparable
I don't think you can make them truly comparable. You could annualize the returns, but this would hardly be comparing apples to apples since you would be assuming a yield curve with identical characteristics and rates existing at times they obviously didn't. Not to mention you would be assuming multiple curves existed simultaneously on the same underlying using this method to compare a 3x6 to a 6x9.
May
31
comment Central Index Key (CIK) of all traded stocks
There isn't one I'm aware of. Mappings require legwork and most who have built one aren't always readily willing to share it, especially for a universe this large.