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by RedAlert
November 3rd, 2016, 12:56 pm
Forum: Technical Forum
Topic: CVA marking
Replies: 4
Views: 1022

CVA marking

 Can anyone tell me how banks calculate their accounting CVA when there are no tradeable CDS with which to calculate default probabilities. Do any firms use historic default probabilities, I would be interested to know which firms and if there are any references for this stuff.
Thanks
Red Alert
by RedAlert
July 3rd, 2011, 9:33 pm
Forum: Trading Forum
Topic: CVA Charge
Replies: 2
Views: 26856

CVA Charge

<t>No CVA needs to be recalculated throughout the life of the trade.Essentially CVA is complicated because it is not considered in isolation for one trade. What a firm will usually do is consider it's entie exposure to a particular counterparty and calculate a CVA charge on that basis. So if we cons...
by RedAlert
July 3rd, 2011, 9:27 pm
Forum: Technical Forum
Topic: offset cva charge with cds hedges
Replies: 3
Views: 20104

offset cva charge with cds hedges

<t>CVA desks often use CDS trades to hedge counterparty exposure. Can a Finance/Product Control function offset the CVA charge it levies by the CDS protection that has been bought? In other words reduce the Expected Positive Exposure by the amount that would be received from the CDS if a default wer...
by RedAlert
March 24th, 2009, 8:43 pm
Forum: Trading Forum
Topic: anyone trading prdc's?
Replies: 1
Views: 42692

anyone trading prdc's?

I guess the title says it all really; I was wondering whether there are many PRDC trades being executed in the current turbulent market conditions? Anyone having trouble hedging the exposure on their PRDC books?Rgds
by RedAlert
February 25th, 2009, 2:44 pm
Forum: Technical Forum
Topic: digital risk - interest rate products
Replies: 0
Views: 42081

digital risk - interest rate products

Just wondering what kind of strike spread people generally apply for digital options in the interest rate market (libor or CMS or CMS spread underlyings). Is 10bp the norm?Does it depend on product?Does it depend on liquidity?How might you estimate such spreads?Grateful for all comments.
by RedAlert
January 14th, 2009, 10:29 pm
Forum: Technical Forum
Topic: 1's 3's 6's Term Basis Swaps
Replies: 1
Views: 44495

1's 3's 6's Term Basis Swaps

<t>Suppose I had a EUR yield curve composed of the most liquidly traded EURIBOR instruments cash/depos up to 3m, 10 futures and then Swaps from 3y out to 50y.The frequency of the futures is 3m (as usual), the swaps are the most liquid in this market, (lets assume these have a frequency of 12 monthly...
by RedAlert
January 13th, 2009, 10:38 pm
Forum: Student Forum
Topic: Counterparty Risk Pricing HELP NEEDED
Replies: 2
Views: 44810

Counterparty Risk Pricing HELP NEEDED

<t>Yep it does make sense to price counterparty risk on a single name CDS. It's an instrument where your future income stream is contingent on no default of your counterparty so it is definitely sensible to calculate counterparty default risk on it. The difficulty is how to do it. As a simple approa...
by RedAlert
May 22nd, 2008, 11:20 am
Forum: Technical Forum
Topic: Vanna Volga
Replies: 4
Views: 60006

Vanna Volga

MCarreira,That's a nice article - thanks for posting it.F.
by RedAlert
April 4th, 2008, 8:27 pm
Forum: Technical Forum
Topic: 3m - 6m Libor vol issue
Replies: 8
Views: 60385

3m - 6m Libor vol issue

<t>dkorsunsky,What I mean my "incorporate within their systems" is to have a system which allows you to see what your risk is against the basis curve moving. This could be via:1) having a libor cuve in the standard ccy convention (e.g. 6m for GBP) and also a "3's into 6's" basis curve; 2) having two...
by RedAlert
April 4th, 2008, 4:18 am
Forum: Technical Forum
Topic: Determine if a user is logged on to the Bloomberg
Replies: 2
Views: 56832

Determine if a user is logged on to the Bloomberg

<t>Haven't seen this problem before - if you created a simple excel sheet to download some basic stock prices. Does it require someone to be logged in to the BB terminal before the spreadsheet will retreive data?BB Help are notoriously bad at being able to offer assistance with the technical api and...
by RedAlert
April 4th, 2008, 4:14 am
Forum: Technical Forum
Topic: 3m - 6m Libor vol issue
Replies: 8
Views: 60385

3m - 6m Libor vol issue

<t>Yep seems to have been a decorrelation in 3's and 6's on EUR, GBP and USD. You'd probably think most serious Rate desks have this basis incorporated within their systems and so can monitor and react to it. However, from what I've heard that is not the case and a lot of people are seeing this as a...
by RedAlert
April 1st, 2008, 10:13 pm
Forum: Technical Forum
Topic: TOTEM: what can we deduce?
Replies: 24
Views: 68703

TOTEM: what can we deduce?

<t>Totem consensus and spread data can be useful in a variety of circumstances:1. It can be used by Product Control (Finance) to ensure their models are returning prices which are consistent with other market participants. This is also something that audit and the regulators derive comfort from.2. I...
by RedAlert
April 1st, 2008, 8:16 pm
Forum: Technical Forum
Topic: Skew Impact
Replies: 5
Views: 57869

Skew Impact

<t>how about just a call or put options - these are the simplest to understand and would be quite sensitive to skew! Obviously Digi's, Range Accruals and the others mentioned by other members have sensitivity but if it is an interview question then it's not wrong to say a call option can be quite se...
by RedAlert
December 17th, 2007, 6:44 am
Forum: Student Forum
Topic: Course in C++ ?
Replies: 4
Views: 62672

Course in C++ ?

Ok it's not specific to FInance but if you are based in the UK one of the best possible C++ courses is run by QA-Interquad:QA-IQ SiteI've sent lots of people on their courses and the feedback has always been excellent.Rgds
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