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

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?
Aug
30
answered Equivalency of FX forwards and FX basis swaps for risk-management purposes
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.
Aug
30
revised Concentration risk in credit portfolio
added 14 characters in body
Aug
30
revised Concentration risk in credit portfolio
added 130 characters in body
Aug
29
answered Concentration risk in credit portfolio
Aug
29
awarded  Teacher
Aug
28
revised Is inverted Japanese style curve persistent when negative rates are real / market - observed?
added 83 characters in body; edited title
Aug
28
answered What distribution to assume for interest rates?
Aug
28
comment Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
No. The shadow pricing of goods theory can explain the presently observed negative interest rates bonds. A shadow interest rate shows when the expected return is greater than interest rate (as firms wish to borrow more at given interest rate than they can) and opportunity cost of funds is greater than interest rate. Considering two additional nettings (over the software and physical currencies) at the level of the modelled portfolio, the treasury department does the asset versus liability management. Frequency, magnitude, settlement methods do get involved in such a modelling.
Aug
28
revised Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
added 93 characters in body; edited title
Aug
28
revised Modelling with negative interest rates
edited title
Aug
28
comment Deriving spot rates from treasury yield curve
Hello Antoine Latter, would separating software (electronic, credit cards, cheques) and non-software cash flows, and using just the completly netted non-software cash flows together with the treasury interest rates, make any difference on your results?
Aug
28
awarded  Commentator
Aug
28
revised Modelling with negative interest rates
added 3301 characters in body; edited title
Aug
28
revised Modelling with negative interest rates
edited title
Aug
28
revised Modelling with negative interest rates
deleted 5267 characters in body
Aug
28
asked Neglect the positive values in negative interest rates modelling?
Aug
28
revised Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
added 817 characters in body
Aug
28
revised Separated software and physical cash flows modelling and pricing to be used with negative interest rates?
added 817 characters in body