319 reputation
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location Switzerland
age
visits member for 1 year, 7 months
seen Apr 4 at 18:06

Oct
10
revised Modelling with negative interest rates
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Oct
10
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Oct
4
comment Government bonds with negative yield
Cash is limited and the monetary mass is not sufficient. Also cash is on its dissapearance road. Here there is the governmental view of the French government, to replace cash with software money, for example economie.gouv.fr/files/rapport-moyens-paiement-2012.pdf. A sort of English-ed version: knowledge.wharton.upenn.edu/article.cfm?articleid=3017
Oct
3
comment How to limit the nbr of cross-gamma calculations in a delta-gamma VaR calculation?
Does it happen you to know an article detailing the cross-gamma effect in credit risk?
Sep
28
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Sep
28
revised Government bonds with negative yield
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Sep
28
comment Government bonds with negative yield
Yes. But you are still exposed to the credit risk of the company issuing the bond.
Sep
28
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Sep
26
answered Government bonds with negative yield
Sep
26
answered Encyclopedia of Statistical Tests
Sep
26
comment Is inverted Japanese style curve persistent when negative rates are real / market - observed?
This is a site with real-time governmental bonds (for Switzerland): forexpros.com/rates-bonds/…
Sep
26
comment Is inverted Japanese style curve persistent when negative rates are real / market - observed?
@John, I do not know how to add pictures to this forum, but this type of curve is what I mean (except that it is also exsting for bond yields): creditwritedowns.com/2012/06/…
Sep
21
revised Modelling with negative interest rates
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Sep
21
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Sep
21
comment Is inverted Japanese style curve persistent when negative rates are real / market - observed?
Thanks @John. Could you give your opinion now ?
Sep
21
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Sep
21
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Sep
21
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Sep
21
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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Sep
19
revised Concentration risk in credit portfolio
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