Hi there, I have a quick question.If X and Y are independent exponetial random variables with means 1/a and 1/b respectively; what is the distribution of Z=min(X,Y)?What is the conditional distribution of Z given that Z=X?How can we apply this on credit risky bond?Many thanks,Gus

HI there,I haven't being able to find detailed information/literature on Constant Maturity Credit Default Swaps.Does anybody know in more detail how the "floating" leg (CDS) of a CMCDS work and how it's actually priced? Or suggest any publication on this?Many Thanks,Gus

<t>Hi there,I am looking for a more scientific way to determine tweak amount for stress scenarios in credit derivatives (tranches).For example, for correlation I tweak it by +/-20% and at the same time tweak spreads by +/- 50%, and take the worst case. But these tweak amount was determined more thro...

I have had the same problem before, but I am afraid you will have to use the good ol' BBG.Gus

<t>Assuming you are long equity tranche risk, you will hedge by selling delta notional of the underlying CDS. So when spreads move you will be buying protection on names that have tightened and selling on those that have widened; which means you are long gamma.I guess there are lots of more details ...

Additionally,Under normal market conditions and excluding trasaction costs, dynamic hedging will always be better that a simple hedge when gamma > 0. Right?Thanks,Gus

25 min.

<t>Aaron, I love your mathematical insight on what apparently is a verbal quiz.If allowed for proper names, I got the following in a quick attempt.0 BLACK1 BLICK2 BUICK (i.e. car brand - not sure if it actually means something)3 QUICK4 QUACKPlease let us know if you have a better solution. (i haven'...

That was an original one...someone I know came up with the following.BLACKBLICKBRICKBRICEBRITEWRITEWHITECheers,Gus

Kate spilled black ink on her white dress. Can you turn black into white by changing one letter at a time? Each step must create a valid word in the English language. Kate made the change in 8 steps. Can you do as well ... or better?

Makes total sense now.Whenerver the relationship F = Sexp[(r+x)*t], given that x is any type of carry (excl. interest already included) we have an arbitrage opportunity (ignoring all transaction costs).Thanks again,Gus

Hi there,Could anybody give me an example of a cash-and-carry arbitrage? What does it has to happen to called it cash-and-carry arbitrage?Many thanks,Gus

Hi there,I am trying to get some ideas on the best way to calculate dBeta/dSpreads for a CDO/tranche given that Beta = correlation.Also, does this relationship have a name or a greek?Many thanks,Gus

<t>This is the most simple way to look at it:1st Choice Door [$]Door Left for alternative choce [ ]Door removed by Game show host [ ]= LOSE if you change your choice1st Choice Door [0]Door Left for alternative choice [ ]Door removed by Game show host [ ]= WIN if you change your choice1st Choice Door...

<t>This is the most simple way to look at it:1st Choice Door [$]Door Left for alternative choce [ ]Door removed by Game show host [ ]= LOSE if you change your choice1st Choice Door [0]Door Left for alternative choice [ ]Door removed by Game show host [ ]= WIN if you change your choice1st Choice Door...