360 reputation
110
bio website
location Switzerland
age
visits member for 1 year, 11 months
seen Jul 17 at 18:38

Nov
30
comment Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Less demand for the 1year in Denmark because of the eurozone resque fund to come (anticipated/known few months in advance). Is Switzerland expected/going to issue 1Y positive bonds as well? Nov 27: The eurozone rescue fund opened books this morning via JP Morgan, Morgan Stanley and Natixis at guidance of 0.23% to 0.25% with pricing scheduled for later on Tuesday. The transaction will be rated A-1+/P-1/F1+, which are EFSF's short-term debt ratings.
Oct
16
comment Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Yes. There is definitely a pulling of the rate at 1 Y
Oct
15
awarded  Supporter
Oct
11
comment Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Hello @John, I have posted the values for Denmark that I am talking about.
Oct
11
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Oct
11
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Oct
10
revised Modelling with negative interest rates
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Oct
10
revised Should portfolio be optimized by marking to the future than marking to market (excluding currencies)?
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Oct
10
revised Should portfolio be optimized by marking to the future than marking to market (excluding currencies)?
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Oct
10
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Oct
10
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Oct
10
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
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Oct
10
asked Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
Oct
10
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
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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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