network profile
| bio | website | |
|---|---|---|
| location | Switzerland | |
| age | ||
| visits | member for | 8 months |
| seen | Dec 17 '12 at 8:57 | |
| stats | profile views | 51 |
|
Sep 21 |
revised |
Is inverted Japanese style curve persistent when negative rates are real / market - observed? added 621 characters in body |
|
Sep 19 |
revised |
Concentration risk in credit portfolio added 126 characters in body |
|
Sep 19 |
revised |
Concentration risk in credit portfolio added 126 characters in body |
|
Sep 19 |
revised |
How can I estimate the parameters of an option value model of retirement? deleted 36 characters in body |
|
Sep 19 |
awarded | Revival |
|
Sep 19 |
revised |
Equivalency of FX forwards and FX basis swaps for risk-management purposes added 2 characters in body |
|
Sep 19 |
revised |
How can I estimate the parameters of an option value model of retirement? added 2 characters in body |
|
Sep 19 |
comment |
What is the current state of the algorithmic trading research? There is a field of research to use rough path to model all the information contained in algorithmic trading via the signature. Once signature is calibrated to the past, you use it to forecast the future. ccfz.ch/files/rd_lyons.pdf |
|
Sep 19 |
answered | How can I estimate the parameters of an option value model of retirement? |
|
Sep 19 |
comment |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? ETFs Playing Bigger Role in Junk-Bond Market: Funds are poised to overtake credit derivatives as method of speculating on high-yield debt. Bloomberg, September 17 treasuryandrisk.com/2012/09/17/… |
|
Sep 12 |
comment |
Should portfolio be optimized by marking to the future than marking to market (excluding currencies)? I mean marking to the t_f - "future"'s market, not to t_0 -today's market: it is the value at t_f that counts. It is a sort of liquidity premium/spread for a given liquidity horizon: Say you have i_0=10^9 CHF invested/given at t_0 and you want/need to be sure that you have l_f=9*10^9 CHF liquid/received at t_f. Than you optimize/calibrate your model to show that you have l_f at t_f, and not to have i_0 at t_0.(Because the utility of the l_f is larger than the utility of i_o where involving in the utility your line of business: FX, if you want to pay retirement, fixed equity if in housing...) |
|
Sep 11 |
answered | Correlation: Test for linear dependence |
|
Sep 10 |
awarded | Promoter |
|
Sep 7 |
revised |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? added 183 characters in body |
|
Sep 7 |
revised |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? added 183 characters in body |
|
Sep 7 |
revised |
Split in two the observed negative interest rates (theoretically always positive/negative)? edited title |
|
Sep 7 |
comment |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? by the defintion of the NPV, one is supposed to have a model which has the NPV of the bond equal to the market value. The way to do the calibration is via the (credit) spread, which is supposed to express in a continuous way the rating state/probability of default. But (from the accounting point of view) one does not discount the incoming cash flows based on the credit state of the borrower, because it has already entered in the interest rate that you are charging for giving the principal away :( |
|
Sep 7 |
revised |
Neglect the positive values in negative interest rates modelling? edited title |
|
Sep 7 |
accepted | Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? |
|
Sep 7 |
comment |
Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? Thank you, @BlueTrin. NPV is supposed to be the difference between an investment's market value and its cost. The market value has been very low. There are 3 options: 1. the cost of the investment is negative, 2. the NPV did not match the market value (it should be even lower than the market value), 3. this definition of NPV is no longer exact. What you are talking about is the expected (credit) gain, which favours option 3? |
