Thank you all guys for your precious materials about correlation swaps, very useful to meregardsMr.

<t>Nah, fixed income departments of banks deeply involved in the subprime crisis have now an hard time in hiring newbies and seniors.Bear announced on 28th of nov it would cut 650 jobs. After the HFs collapse that hit BS during the summer caused the bank to announce a 1,490 jobs cut since august, ev...

<t>Hi all,its a long time i have been far away from this forum and i'm happy to be back.I'm in search of a good and complete paper about Bund Futures trend meaning and their preditictive use on fixed income and interest rates markets. Any other stuff about Euribor Futures and T-bond futures with sim...

For an influence of stock sector returns on CAPM in a bayesian environment try this"CAPM improvements based on Bayesian Nets" by Singhal and Chakravorty 2005. Bye

Check these links:Bank Valuation xlsBank Valuation pdfBank Valuation pptif they aren't enough see Damodaran Valuation Home Page at:Damodaranregards,

Start having a quick look at this article published on Bloomberg Markets magazine february 2005:"Hedge Funds grow up". Very interesting story and a couple of useful data too.Rgds,

<t>Warf or weighted average rating factor is a measure of credit quality giving exponentially bigger weigths to companies with lower ratings. It’s a number corresponding to an average rating for f.income portfolios. Usually it’s used to assess credit quality of CDO underlying bond portfolios. Have a...

This paper gives you a brief sum of statistical method for b-a spread analysis in commodity futures market,my best regards,Bid Ask spread

<t>I had this article published on Bis quarterly of 2001 review on effect of macroeconomic announcements. Take care: 3 years ago bond markets were less liquid than today so every indicator had smaller impact on curves and bond trading rather than equity market. Nowadays we find opposite conditions. ...

I'm afraid a stock going constantly up 4% doesn't imply always 0% volatility and agree it depends on volatility type you're refering to and formula. Have a look to this paper by E.Derman on page 7.Investing in volatility My best regards,

Have a look to this thread on Wilmott General Forum before buying a book:Structured Products Threadrgds,

<t>The basis point volatility is calculated as current yield rate * black volatility.Take this numerical example If current 1-year euribor is 2.37% and you suppose a B-vol of 11% your BPVOL is 0.26Once you obtain your Bpvol first thing is determining a std deviation range in basis points. And respec...

What's the financial meaning of bond duration?

Have a look to this report:Crop Risk Management report rgds,

<t>In my guess, negative volatility risk premium implies positivity of the covariance between the pricing kernel and the averaged integrated volatility i.e. means that expected future volatility is less than implied volatility.It could happen after a long negative shock to demand on instant t, inves...