Sorry I am not clear in my question. I calculated the standard deviation of vega pnl in relation to historical vol move. From here how do I conclude whether the vega position is in the right size or too large. Thank you.

Hi how to assess whether a short interest rate vega risk position is in right size relative to the implied vol pnl? Thank you.

<t>Hi,I need some advice whether to transfer from market risk position in Singapore to product control -price testing position in Tokyo. I currently cover FX, fix income and credit derivative product for non Japan Asia location. For the price testing position, I will be responsible for fix income as...

<t>Hi,In stress testing a portfolio of FX option (assuming implied FX vol changes by x% holding spot rate constant), does it matter whether I add the shock directly to the calibrated FX vol and do a full reval to obtain stress P/L or add the shock to the market data and obtained the calibrated vol. ...

<t>Hi,I understand that the vega of the out of the money and in the money option will increase as vol increases. Under what circumstances can the vega for an out of the money cross currency option keep increasing when vol increases substantially? Dvega dvol is very high when the vol is increased by ...

Hi,When an investor long a USD denominated bond, is it possible that when the US curve volatility reduced, the value of the bond reduced? If yes, why? Please advise. Thank you.With regards,Serene

<t>Hi,I have a time series of implied forward rate. Some of the observations are negative. I wish to compute its volatility to serve as an input in VAR calculation. If I compute the standard deviaton, the volatility tends to be large due to these negative observations. Are there any adjustments that...

Hi ecki,Very enlightening. Thank you.

<t>Hi, I will like to ask why in the first to default swap the premium decreases as correlation between issuers increases, given that second to default swap the premium increases as correlation between issuers increases. Also why the worse case for protection buyer and best case for protection selle...

Hi ,Please enlighten me in how would you calculate DV01 of a forward start interest rate swap that pay fixed and receive float and will start in 6 months time? Is DV01 of this swap equals to the DV01 of the pay side? Thank you.RgdsLoner

<t>Hi Hi,I understand that it is possible for corporates who intend to defer their overseas divestment plan to roll over the cross currency swap at a off market rate during the exchange of principal at the maturity date of the swap. Is this a common practice and will the auditors allow it?Please enl...