388 reputation
111
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location Switzerland
age
visits member for 2 years, 2 months
seen Aug 27 at 14:57

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)?
added 346 characters in body
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)?
deleted 47 characters in body
Oct
10
revised Why for one year (and not two or three) government bonds (there is a spike for Switzerland & Denmark)?
edited title
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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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