Hey all, is there any Exchange which provides interest on Margin money put for trading requirement.Appreciate any pointer.Thanks,

Any suggestion? Please let me know. Regards,

Hi,I am looking for a good text book to learn SABR model with many work out examples. Could you suggest any.Thanks for your time.

When you are calculating VaR number with Parametric method, you are basically using an assumption like ln(1 + x) ~ x for small x. On the other hand, your MCS method is exact. That is why you are seeing the difference. You would see more difference if you increase your VaR horizon.HTH,

When calculating Volatility, you generally assume Log-normal model (for various good reasons). Therefore, an estimate of your Annualized SD would be 8.48%. Thanks,

Quotefloating is very low. hence -ve carryCan you please elaborate this statement in little bit more detail?

<t>Hi,Let say market is expecting a higher interest rate regime, currently it is low interest rate regime. In anticipation to this, I initiated a long 10 year interest rate swap, where I am paying fixed.I was told that this strategy has negative carry given the steep curve.Can someone help me to und...

Hi,I am looking for some comprehensive materials (preferably over net) on Dodd-Frank act and it's implication on Financial risk management.Can someone refer any?Also like to know the views of Experts here on the same.Your feedback is highly appreciated.Thanks,

<t>Hi,As per my understanding, there are some regulatory constraints due to which exchanges report positions held by market participants on a weekly basis. I want to get the time series of position information on T-bond futures for non-commercial account (i.e. speculative trades).Can somebody help m...

<t>Hi,I have asked this same question in some place, however did not get any single reply.Here I am to calculate the Credit VaR for a Bond for 6-month time horizon, which lasts for 10 years. The issuer of this Bond has BB rating. And Recovery rate is assumed as 40%. To value this Bond in 6-month dow...

Hi okmijn22, if you dont mind could you please elaborate how you arrive the default probabilities as 0.5 and 0.1? Thanks

<t>Hi,This is my first post here, and hope that will really get some valuable insights from the experts here.I have given a portfolio of a long Call option & short Put option. This portfolio has initial zero cost. However the spread between put and call is let say $X.Given this information in ha...