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by Ri
October 5th, 2005, 8:18 pm
Forum: Technical Forum
Topic: CDO Deltas
Replies: 4
Views: 134916

CDO Deltas

<t>good question. in fact holding all the tranches is different from holding the underlying portfolio.You can see this by looking at what happens in terms of carry if 5 names default (exactly wiping out your equity tranche). Let's say all the names are at 50bps. On sum of tranches, you lose the equi...
by Ri
September 7th, 2005, 7:41 pm
Forum: Technical Forum
Topic: About CPPI valuation
Replies: 4
Views: 139141

About CPPI valuation

<t>ertswhile - interesting points. i somewhat disagree with you though, since the management fees don't need any pricing either... just say hey i'm gonna charge you x per year and voila!i also don't know if anyone would do 1), which is essentially a- killing the product b- disclosing your margin to ...
by Ri
September 6th, 2005, 6:30 pm
Forum: Technical Forum
Topic: About CPPI valuation
Replies: 4
Views: 139141

About CPPI valuation

what do you mean "valuing"??? a CPPI isn't priced, it's just a strategy.
by Ri
May 25th, 2005, 9:43 pm
Forum: Technical Forum
Topic: CDS hazard rates check
Replies: 7
Views: 188832

CDS hazard rates check

after a little math you getPV=(spread-hazard rate*(1-recovery rate))*risky durationand PV=0 at inceptionvoila
by Ri
May 25th, 2005, 9:41 pm
Forum: Technical Forum
Topic: Dynamic replication of CDS tranche?
Replies: 1
Views: 147762

Dynamic replication of CDS tranche?

nopeif you hedge spread risk, you don't hedge jump to default and the reverse
by Ri
May 10th, 2005, 1:16 pm
Forum: Technical Forum
Topic: sensitivity and convexity for CDS
Replies: 4
Views: 150085

sensitivity and convexity for CDS

<t>there are two different things here: the spread S at which you traded at T0 your CDS, which reflects default probability at T0and the market spread of the CDS at any other time T, which reflects the default probability at T.When computing sensitivities, S is kept constant, since you're actually k...
by Ri
May 10th, 2005, 10:12 am
Forum: Technical Forum
Topic: sensitivity and convexity for CDS
Replies: 4
Views: 150085

sensitivity and convexity for CDS

<t>Hey.Best thing you can do is try to derive a closed form formula for the CDS price (not too hard, some reasonable simplifying assumptions would be constant default intensity and coupon paid continuously), and take its first and second derivatives wrt the spread and voilà you have your sensitivity...
by Ri
April 19th, 2005, 7:17 pm
Forum: Careers Forum
Topic: trading in Exane Paris
Replies: 7
Views: 152808

trading in Exane Paris

nope they have some prop trading of derivatives + some structured productsno idea if it's a good place for a junior though, but would be interested in comments, too
by Ri
April 18th, 2005, 5:59 pm
Forum: Careers Forum
Topic: Better to specialize early, or to go multi-asset?
Replies: 1
Views: 152258

Better to specialize early, or to go multi-asset?

<t>Hi. I'm graduating soon, and have two significant internships in one asset class, and know quite a lot about it (credit der.).Ideally, given two equal opportunities, one in this asset class, and one in another asset class, which way do you feel is better to go?On a more general note, are desk peo...
by Ri
March 23rd, 2005, 3:48 pm
Forum: Careers Forum
Topic: Think I made a wrong turn...
Replies: 16
Views: 158186

Think I made a wrong turn...

<t>Also make sure you *really really* like math. I know a lot of people who thought so, but then decided against when faced with actual courses, not understanding one line of the proofs we saw in class, having to plod through them in the evenings, then being faced with exams that had nothing to do w...
by Ri
March 17th, 2005, 10:41 pm
Forum: Technical Forum
Topic: Index CDS Option / CDX (TRACX) Option
Replies: 7
Views: 160335

Index CDS Option / CDX (TRACX) Option

Hey irada. Do you have the paper where they expose the model? I'd be quite interested in it.Thx.
by Ri
March 16th, 2005, 3:52 pm
Forum: Programming and Software Forum
Topic: xlw and devcpp
Replies: 4
Views: 157810

xlw and devcpp

Hey MJ thanks a lot for this, the official version I couldn't get to work, but this I could!!Complete beginner in this though so nothing constructive to add except sincere thanks.
by Ri
March 16th, 2005, 8:12 am
Forum: Careers Forum
Topic: SG New York
Replies: 39
Views: 162828

SG New York

check your PMs mac... might have some nfo for you.
by Ri
January 10th, 2005, 9:30 pm
Forum: Careers Forum
Topic: who's smarter
Replies: 30
Views: 167042

who's smarter

who would win the fight: ostrich or pitbull ???
by Ri
January 8th, 2005, 11:09 pm
Forum: General Forum
Topic: Iboxx
Replies: 2
Views: 163904

Iboxx

the prices are usually very roughly sthing like 30% upfront +500bp for 0-3200bp for 3-680bp for 6-9(talking itraxx in 40bp spread environment)
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