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Search found 421 matches
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29
by
Wibble
April 23rd, 2009, 6:42 am
Forum:
Trading Forum
Topic:
Long on defualt correlation
Replies:
3
Views:
40837
Long on defualt correlation
There's a modern searching tool called google which witha little effort will lead you herehttp://
www.classiccmp.org/transputer/finengineer/
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by
Wibble
April 23rd, 2009, 6:36 am
Forum:
General Forum
Topic:
default correlations
Replies:
1
Views:
39980
default correlations
perhaps you should read the ' why has my question not been answered?' section in the students forum
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by
Wibble
April 22nd, 2009, 7:53 am
Forum:
Trading Forum
Topic:
Long on defualt correlation
Replies:
3
Views:
40837
Long on defualt correlation
Read some of domonic o'kane's papers on credit
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by
Wibble
April 21st, 2009, 6:29 am
Forum:
Programming and Software Forum
Topic:
hwo to make this thing happen
Replies:
9
Views:
41804
hwo to make this thing happen
start by looking at scheduled tasks and the microsoft knowledge base
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by
Wibble
April 7th, 2009, 5:37 am
Forum:
Student Forum
Topic:
How can I compute the correlation matrix with missing data?
Replies:
5
Views:
41530
How can I compute the correlation matrix with missing data?
The riskmetrics technical guides have details on filling in missing data, from memory it's in their section on volatility and correlation
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by
Wibble
March 24th, 2009, 11:25 am
Forum:
General Forum
Topic:
AIG tells staff how to avoid a lynch mob
Replies:
33
Views:
46981
AIG tells staff how to avoid a lynch mob
http://www.timesonline.co.uk/tol/news/u ... 515384.ece
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by
Wibble
March 19th, 2009, 2:27 pm
Forum:
Technical Forum
Topic:
Swap help
Replies:
3
Views:
42520
Swap help
the riskmetrics technical paper
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by
Wibble
March 4th, 2009, 8:47 am
Forum:
Technical Forum
Topic:
CDSW- Correct Assumption?
Replies:
4
Views:
43608
CDSW- Correct Assumption?
i'd have a look at the attached document
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by
Wibble
February 26th, 2009, 3:01 pm
Forum:
Student Forum
Topic:
How to get free historydata from Bloomberg
Replies:
5
Views:
43203
How to get free historydata from Bloomberg
the excel history wizard is the obvious answer
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by
Wibble
February 26th, 2009, 8:20 am
Forum:
Student Forum
Topic:
Fixing date of a swap
Replies:
15
Views:
161888
Fixing date of a swap
QuantLib has quite reasonable calander info you could extract
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by
Wibble
January 22nd, 2009, 3:35 pm
Forum:
General Forum
Topic:
how to calculate the Market-to-market value change of the CDS position?
Replies:
37
Views:
59407
how to calculate the Market-to-market value change of the CDS position?
have you looked at CDSW on bloomberg? that's what everyone uses, you have to agree a recovery rate with your counterparty.
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by
Wibble
January 14th, 2009, 8:28 am
Forum:
General Forum
Topic:
Bond equivalent market value of a CDS
Replies:
15
Views:
53400
Bond equivalent market value of a CDS
There was a jpm conference in 2004 where eric beinstein detailed comparisons of bond spread measures with cds spread for structuring trades which you might find useful
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by
Wibble
December 4th, 2008, 8:29 am
Forum:
Student Forum
Topic:
Accuracy of PD estimates (Credit Derivative pricing)
Replies:
2
Views:
45548
Accuracy of PD estimates (Credit Derivative pricing)
Read the 2004 jpm cred deriv conference notes by eric beinstein on different spread measures for bonds and why these measures are different
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by
Wibble
November 7th, 2008, 10:47 am
Forum:
General Forum
Topic:
Rates
Replies:
5
Views:
47918
Rates
ISDAFIX on reuters
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by
Wibble
November 6th, 2008, 12:06 pm
Forum:
Technical Forum
Topic:
Extrapolating Forward rates
Replies:
3
Views:
47349
Extrapolating Forward rates
The only thing you can do is assume flat forwards from the last instrument that you have
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