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by oislah
February 8th, 2019, 5:03 pm
Forum: Technical Forum
Topic: EAD and SA-CCR
Replies: 6
Views: 604

Re: EAD and SA-CCR

We have updated the model section .  The naming of the modelling framework was kind of wrong and the market model framework is a better set-up than the  continuous curve model (HJM types/Multi-factor short rate)which is a bit akward given the correlation structure and likely to lead to Non-Markovian...
by oislah
February 8th, 2019, 9:52 am
Forum: Technical Forum
Topic: Looking for a name if there is one
Replies: 14
Views: 808

Re: Looking for a name if there is one

by change of variable (of tangent type), this looks like a particular instance of  a Fourier Integral Operator : https://en.wikipedia.org/wiki/Fourier_integral_operator
doesn't it?
by oislah
February 6th, 2019, 10:08 pm
Forum: Technical Forum
Topic: EAD and SA-CCR
Replies: 6
Views: 604

Re: EAD and SA-CCR

You need to ignore equations 3.11 as they are not used in the paper. Only zero coupon bond equations 3.12 are used and that is a 3 factor gaussian HJM with the correct correlation structure. There is a typo in 3.11 and they should have been 3 processes r_{i} that equation is there just for completen...
by oislah
February 6th, 2019, 4:44 pm
Forum: Technical Forum
Topic: EAD and SA-CCR
Replies: 6
Views: 604

Re: EAD and SA-CCR

Hi Mike On the first point simpler approaches have shown their limits and an excess of conservatism in parameters attempts to mask their flaws. We advocate transparency and comparability with IMM but still remaining in a simple approach just slightly more complex than current SA-CCR. I like your que...
by oislah
February 5th, 2019, 10:20 pm
Forum: General Forum
Topic: EAD and SA-CCR papers
Replies: 0
Views: 531

EAD and SA-CCR papers

Do you think capital rules are adequate? Think.no more. With my colleagues Chris and Mourad, we have cracked an inverse problem. We offer both a very simple platform for the control of capital adequacy and a simple extendible framework for a transparent discussion of the calibration of parameters im...
by oislah
February 5th, 2019, 10:19 pm
Forum: Technical Forum
Topic: EAD and SA-CCR
Replies: 6
Views: 604

EAD and SA-CCR

Do you think capital rules are adequate? Think.no more. With my colleagues Chris and Mourad, we have cracked an inverse problem. We offer both a very simple platform for the control of capital adequacy and a simple extendible framework for a transparent discussion of the calibration of parameters im...
by oislah
November 23rd, 2016, 4:05 pm
Forum: General Forum
Topic: Are basis spreads toxic?
Replies: 9
Views: 1004

Re: Are basis spreads toxic?

Can you elaborate?
by oislah
November 22nd, 2016, 8:55 pm
Forum: General Forum
Topic: FOREX Market Data BBO 3 years $1k
Replies: 1
Views: 478

Re: FOREX Market Data BBO 3 years $1k

Why is it better than Quantconnect data
by oislah
November 22nd, 2016, 8:54 pm
Forum: General Forum
Topic: Are basis spreads toxic?
Replies: 9
Views: 1004

Re: Are basis spreads toxic?

Indeed I am talking just about X-Ccy basis that I call CCBS
by oislah
November 22nd, 2016, 2:33 pm
Forum: General Forum
Topic: Are basis spreads toxic?
Replies: 9
Views: 1004

Re: Are basis spreads toxic?

I don't know either what it means, it is just my 2 pennies on a potential economic rationale given that if I am EURO investor and I want to buy say some bonds/Shares in the US that would yield say 5-6% Either I hedge with a rolling spot FX or CCBS and in this case the cost of hedging would be Dom ra...
by oislah
November 22nd, 2016, 11:14 am
Forum: General Forum
Topic: Are basis spreads toxic?
Replies: 9
Views: 1004

Re: Are basis spreads toxic?

Cross currency basis spreads appeared ( or were more pronounced late 90s early 2000s ) in the context of the USD/Jpy carry trade Probably as a result of an equilibrium between Japanese investors averse to currency risk and who just bought FX options or PRSCs and those "risk neutral " who just swappe...
by oislah
November 21st, 2016, 11:08 pm
Forum: General Forum
Topic: Are basis spreads toxic?
Replies: 9
Views: 1004

Are basis spreads toxic?

Maybe a naive question: do basis spreads depend to some extent (I want to think to a large extent) on volatility surfaces ? Is the way forward to manage this kind of risk via basis spreads vegas? Are the hedges stable for some economic reason ?
Thanks for enlightening me
by oislah
July 15th, 2014, 12:18 pm
Forum: Technical Forum
Topic: No-arbitrage SABR (Doust 2012) - Implementation Question
Replies: 2
Views: 4955

No-arbitrage SABR (Doust 2012) - Implementation Question

for large x, you should use the asymptotic expansion of exp(-x)*I_v(x) instead which is indeed part of the expression you are trying to compute.You can find the expansion on here :http://dlmf.nist.gov/10.40
by oislah
September 30th, 2013, 1:37 pm
Forum: Technical Forum
Topic: Options Pricing with Illiquid Underlying
Replies: 11
Views: 8006

Options Pricing with Illiquid Underlying

My 2p approach that accountants/auditors seem to agree with would be to:- mark at cost and use the model to mark variation of value. - try to quantify a reserve for liquidity, model risk with some approach for which you could argueThere is most likely no good way but has to make sense
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