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

Aug
20
comment Is it possible to model general wrong way risk via concentration risk?
should the GWWR mean that your exposure increases due to a market risk factor that increases in the same time the probability of default of your counterparty?
Aug
20
comment what is General IB2 Restriction in Basel II credit risk model
It should specify the Basel 2 requirements, as Basel 3 has a very consistent and self-explanatory section on IB.
Aug
3
comment Is it possible to model general wrong way risk via concentration risk?
Thank you, @lehalle. Apart from CVA, which one could model via its specific characteristics, would it be an other propagation mechanism for GWWR you could think of, to make the difference from concentration risk? I doubt that regulators double count :( but their definition is not crystal clear, from modelling point of view. And say we don't measure market risk by volatility, but by expected shortfall.
Aug
2
comment How popular is the IRR as a tool for capital budgeting, nowadays?
F=final, I=initial, IRR=(F-I)/I; NPV=F/(1+IRR)=F/(I+F-I)/I=I. The present balue of the final cashflow F is the investit cash I. ?
Jul
17
comment Excel to Java for Interactive brokers
The implementation of the function is something like
Jul
16
comment Is inverted Japanese style curve persistent when negative rates are real / market - observed?
Thank you a lot for the article-link @haginile. I'll edit the question, as you pointed on the June14 JPY curve. My question is about the JPY curve/inverted style, in general: will real market negative rates become more negative in1 year, and then inflect to positive values, or will they grow in magnitude and "stay" negative?
Jun
6
comment Modelling driftless stock price with geometric Brownian motion
@Bill, you should copy paste carefully from files (: you included the bracket in the domain link)
Jun
5
comment Implied Probability of Default from Bond Prices
I understand survival as a function of delta t (you are non dead between the moments t0 and T) while I understand non-default as a function of t (you are not dead at moment T). Survival is the investment point of view and non-default is the liquidation approach.
Aug
14
comment What is the difference between Option Adjusted Spread (OAS) and Z-spread?
Mathematically, there is an interesting paper related to the non-linearity of this relationship (practically credit spread/o), in "Next Generation Models for Convertible Bonds with Credit Risk", p70, at wilmott.com/pdfs/030813_ayache.pdf
Jun
19
comment Is it possible to model general wrong way risk via concentration risk?
Hi @Quartz, I have re-edited the question.
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
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
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
comment Government bonds with negative yield
Yes. But you are still exposed to the credit risk of the company issuing the bond.
Sep
26
comment Is inverted Japanese style curve persistent when negative rates are real / market - observed?
This is a site with real-time governmental bonds (for Switzerland): forexpros.com/rates-bonds/…
Sep
26
comment Is inverted Japanese style curve persistent when negative rates are real / market - observed?
@John, I do not know how to add pictures to this forum, but this type of curve is what I mean (except that it is also exsting for bond yields): creditwritedowns.com/2012/06/…
Sep
21
comment Is inverted Japanese style curve persistent when negative rates are real / market - observed?
Thanks @John. Could you give your opinion now ?
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/…