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by Swapnild
August 6th, 2008, 9:44 am
Forum: General Forum
Topic: VAR computation for illiquid and OTC quoted assets
Replies: 0
Views: 49893

VAR computation for illiquid and OTC quoted assets

<t>Hi, We have a problem on computation of VAR for short term moneymarket assets like Bank CDs (certificate of deposits). They correct way probably is to compute VAR off the credit curve. however, the pecularities of the market are such that while there are a lot of OTC trades, these are not reporte...
by Swapnild
January 23rd, 2005, 3:25 pm
Forum: General Forum
Topic: Bootstrapping procedure for Treasury curve
Replies: 3
Views: 163245

Bootstrapping procedure for Treasury curve

<t>Interpolation is a simple arithmetic average of the two numbers involved. YTM or the yield curve should technically denote the level of interest rates for the tenors existing in the market. For eg. if there are 10 points on the Yield curve then each of the point will denote the interest rate of t...
by Swapnild
July 4th, 2004, 9:26 am
Forum: General Forum
Topic: Introductory Macroeconomics
Replies: 15
Views: 191585

Introductory Macroeconomics

Dr. Yargeni`s site is good enough Chk that out
by Swapnild
July 4th, 2004, 9:17 am
Forum: General Forum
Topic: Introductory Macroeconomics
Replies: 15
Views: 191585

Introductory Macroeconomics

Dr. Yargini`s site is good enough Chk that out
by Swapnild
July 4th, 2004, 9:16 am
Forum: General Forum
Topic: Introductory Macroeconomics
Replies: 15
Views: 191585

Introductory Macroeconomics

Dr. Yargini`s site is good enough Chk that out
by Swapnild
April 25th, 2004, 11:18 am
Forum: General Forum
Topic: Pricing IRS
Replies: 2
Views: 189723

Pricing IRS

see reuters or bloomberg for quick reference.
by Swapnild
December 6th, 2003, 3:49 am
Forum: General Forum
Topic: The world economy in 2050
Replies: 112
Views: 198939

The world economy in 2050

<t>Hi, In countries like China and India it is often debated as to why their people excel often in the US and can`t show same results in their own country. Probably it has something to do with the animal instinct of experiencing enhanced enthusiasm and creativity when they change their habitat? is t...
by Swapnild
October 30th, 2003, 6:27 am
Forum: General Forum
Topic: The world economy in 2050
Replies: 112
Views: 198939

The world economy in 2050

Hi Pl find an interesting article on the current topic
by Swapnild
October 25th, 2003, 4:28 am
Forum: General Forum
Topic: The world economy in 2050
Replies: 112
Views: 198939

The world economy in 2050

<t>China is no doubt expected to perform and prove true to the expectations. However, the west and the rest need to realise that in the process they would be creating a hegemony that would be difficult for them to reign. It would be better to create or shd I say encourage other economies like India ...
by Swapnild
September 20th, 2003, 7:06 am
Forum: General Forum
Topic: bond fund volatility rating
Replies: 2
Views: 189891

bond fund volatility rating

<t>Hi Even I have posted a query on Risk involved in Liquid Funds. At the moment what we are montioring the portfolio on the basis of their daily returns volatility. It is difficult to monitor their portfolio credit quality on a daily basis as most of the funds do not declare it on a daily basis. At...
by Swapnild
September 20th, 2003, 6:40 am
Forum: Technical Forum
Topic: Help on Risk management techniques in Liquid funds
Replies: 4
Views: 189837

Help on Risk management techniques in Liquid funds

<t>Hi shailesh Nice to see you. What we are doing at the moment is running a portfolio of about 10 mutual funds. We are investing only in their Liquid funds. The yield on our portfolio is better than the Repo rate (Since we see our investment as an alternative to the repo). But what we are not clear...
by Swapnild
September 12th, 2003, 11:01 am
Forum: Technical Forum
Topic: Help on Risk management techniques in Liquid funds
Replies: 4
Views: 189837

Help on Risk management techniques in Liquid funds

<t>HelloNonius I am currently holding a portfolio of 10 different liquid funds. I have been tracking their daily returns volatility and 7 day rolling returns. I have also been using sharpe ratio to monitor their performance. However I would like to know if there is any other way of monitoring their ...
by Swapnild
September 11th, 2003, 10:58 am
Forum: Technical Forum
Topic: Help on Risk management techniques in Liquid funds
Replies: 4
Views: 189837

Help on Risk management techniques in Liquid funds

Hi there I need some help on risk management of a liquid fund portfolio. Thanks
by Swapnild
June 2nd, 2003, 6:09 am
Forum: Student Forum
Topic: "Rolling Down the Yield Curve"
Replies: 34
Views: 194711

"Rolling Down the Yield Curve"

Hi there, This is swapnil Here. Can you send me those papers you have on Fixed income and MBS pl.My email id is swapnild@vsnl.netthanks Swapnil
by Swapnild
February 24th, 2003, 11:51 am
Forum: Technical Forum
Topic: Portfolio Yield/Duration
Replies: 11
Views: 193299

Portfolio Yield/Duration

Thanks guys
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