you manage it so the futures exposure is equal to your risk asset allocation. you cover marging requirnment from your risk free asset.

HFR, they have both and investible and non-investible index

<t>this will really depend on the institution. i've seen some of the pots of the banks that did have big write offs and those where as low as 45-50% of last year (and that was not for groups in sub prime, but equity/FI/FX derivs which had a record year) and that of banks which had little or no expos...

as equity derivs are traded on ISDA definitions, best is to go through the Master Agreement and any relevant suppliments. you can buy them at www.isda.org

<t>QuoteOriginally posted by: psholtzAll of which will only result in more inflation.not really, was just to bridge cash requirnments while the interbank lending market was crippled (ie banks stopped lending to each other). short term phenomina, which won't cause banks to increase consumer lending, ...

<t>QuoteOriginally posted by: meteorjust out of curiosity: what is the average size of prop trader book. Or more generally what is the AUM at a prop desk.I am asking that as I am wondering if there is a real big difference between trading in a prop desk or in a hedge fund (at the end of they they ar...

<t>that's correct. the different funding levels of banks can be an advantage or disadvantage. banks with expensive funding (ie libor ++) should be more competative on trades where they are long cash (ie where the trading dept. is net long and deposits with the treasury) so most FI derivs or products...

<t>not really. the problem that the underwriters (I banks) are facing is their exposure to the market through the super-senior tranche. usually only a portion of a CDO is funded by investors (equity -> AAA) and the underwriter takes on the super senior piece (ie the loss after AAA). Now on a lot of ...

<t>algorithmic trading covers all systematic trading strategies (ie model based, not fundamental) including stat arb, but also other such as trend following, etc. Stat arb are mean reversion strategies, so usually taking a relavitive value (long something, short something similar) position where the...

<t>130/30 seems to be the most popular so far as it fits into the 40 Act framework (allows for 30% shorts). if there is no regulatory constraint 'true' long/short is much a better option. with all the 1x0/x0 strategies you are still basically stuck with a beta of 1. a good long/short manager should ...

<t>if you want to swap the index itself it will be pretty expensive (as with all bond incides) and illiquid. I think LBA trades around L + 40-50bps. You are better off trading a replicating index which trades somewhere around L+15bps. the problem with bond indices is that they usually are propriater...

<t>ratings are actually voluntary, so there are corporates out there that issue publicly and do not have a rating. Also, companies that are rated are not required to publish their rating (which happens as well). However since it's easier (and usually cheaper) to raise public debt with a rating, most...

EMTN = Euro Medium Term Notes, and is an issuing program under standardized offering docs issuers set up. It's nothing more then a bond, and is priced like one (ie discounting the cash flows)

at the big I banks if you cut a formula deal it's usually 10-20% of the P/L