network profile
| bio | website | |
|---|---|---|
| location | Switzerland | |
| age | ||
| visits | member for | 9 months |
| seen | Dec 17 '12 at 8:57 | |
| stats | profile views | 52 |
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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 here: |
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Sep 6 |
asked | Observed market price for the August-Greece-paid bonds where the NPV of the bond or of an option? |
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Sep 4 |
awarded | Tumbleweed |
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Sep 3 |
answered | Regression and its application |
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Aug 31 |
revised |
Is inverted Japanese style curve persistent when negative rates are real / market - observed? deleted 4 characters in body |
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Aug 31 |
comment |
Modelling the magnitude of negative interest rates as depending on the deposited volume ”What Is Inverted Finance & The Time Value Of $?” (wallstreetoasis.com/blog/…) and “Can Negative Interest Rates Cause Savings to Increase?” (econompicdata.blogspot.ch/2011/08/…) seem to support this idea, except that it is stated the other way around: decrease in the interest rates lead to increases in savings. |
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Aug 31 |
awarded | Scholar |
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Aug 31 |
accepted | Separated software and physical cash flows modelling and pricing to be used with negative interest rates? |
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Aug 31 |
revised |
Separated software and physical cash flows modelling and pricing to be used with negative interest rates? deleted 6 characters in body |
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Aug 31 |
revised |
Separated software and physical cash flows modelling and pricing to be used with negative interest rates? added 6 characters in body |
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Aug 31 |
answered | Separated software and physical cash flows modelling and pricing to be used with negative interest rates? |
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Aug 30 |
answered | How do I calculate weighted mean with negative weights? |
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Aug 30 |
comment |
Need advice on finding forward spot rates if these were actual data, at the moment you raised the question, does it happen you to have the observed values for the rates you were asking? (What was the 3ML after 3M, what was the 6ML after 6 M, etc) And could you say the currency these Libors are for? |
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Aug 30 |
answered | Equivalency of FX forwards and FX basis swaps for risk-management purposes |
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Aug 30 |
comment |
What distribution to assume for interest rates? Hello @Bob Jansen : You could try Monika Piazzesi, the "Affine Term Structure Models" chapter, if you want to enter/modify the basis. Or you can see the work of Krippner, for example "Measuring the stance of monetary policy in zero lower bound environments", if you want to cut to some final ideas. |
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Aug 30 |
revised |
Concentration risk in credit portfolio added 14 characters in body |
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Aug 30 |
revised |
Concentration risk in credit portfolio added 130 characters in body |
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Aug 29 |
answered | Concentration risk in credit portfolio |
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Aug 29 |
awarded | Teacher |
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Aug 28 |
revised |
Is inverted Japanese style curve persistent when negative rates are real / market - observed? added 83 characters in body; edited title |
