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seen Jun 30 at 22:56

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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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?
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Sep
19
awarded  Revival
Sep
19
revised Equivalency of FX forwards and FX basis swaps for risk-management purposes
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Sep
19
revised How can I estimate the parameters of an option value model of retirement?
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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
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?
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: