Hi guys, What are the most common techniques among practitioners to compare local currency bonds versus external bonds? I was thinking about asset swap local currency bonds into Libor for instance. Does anyone can suggest some paper or report to read on this subject? Thanks in advance.M

I am wondering if this is good news for the gold?

<t>Ok, we are in a deflationary environment but I don?t buy think that this will be temporary. Policymakers did what they could to pump up inflation and fail big time. Money multiplier collapsed last year and nowadays is the half of what it was in the last decade. This makes things even more difficu...

Does anyone have a good explanation for the recent plummet in the MZM over the last few weeks? Any idea would be appreciated. Thanks in advance.

I would also like a copy of the document and the spreadsheet. marrieta@live.com.arThanks in advance.

<t>I have seen some cases where several companies continued paying their debt at the same time that the sovereign went bankrupt. Therefore, I agree with the idea that a company could have a better credit risk than the sovereign. However, I don?t think the relationship can go too far away since the b...

<t>HFT is about making a profit from temporary imbalances in supply and demand on a given stock, right?.....and a very small number of HFT players are responsible for most of the market volume, right?......is this not an imbalance per se?...... I heard that some authorities are considering testing c...

<t>Over the last few weeks there were a lot of people talking about flash-trading and the impact on market?s liquidity. I?ve heard people saying that 70% of market volume could be attributed to HFT. There was an article in the NYT saying that the market disruption on May 6th was because a HFT fund s...

If that?s possible I would like to join you guys.

<t>I am currently working on a panel error correction model, which I am trying to build in order to measure the fair value of 5 Yr CDS for 20 EM countries. All individual series contain trends. I also tested for co-integration. I have selected some fundamental variables such as the credit rating (a ...

<t>The z-spread is just the parallel shift applied to the libor/swap curve that makes the PV of the bond’s cash flow equals to the market value. Is not a tradable spread, assumes a constant spread over the swap curve. Is is a roughly measurement of the issuer’s credit quality. The z-spread do not ac...

You can use this for a roughly adjustment:Spread Adjustment = - (Price - 100) x CDS Rate/(1- Recovery)

<t>Thanks for you comment Halik. The problem I had with the spreads-based methodology emerges when the issuer’s debt is rading at distressed levels because traditional measures of spreads (i-spread, z-spread, asw, etc) do not take into account the possibility of the bond defaulting and, of course, i...

<t>I am working with sovereign names. Let me see if I got this right. In a hypothetical scenario where the world fully recovers and interest rate increase, you might expect some outflows from EM to DM. In this environment, you would prefer a spread based model rather than a bond price method because...

<t>I find your comments very interesting. What I am trying to do is to apply different techniques to different EM credits and compare results. My goal is to generate a history of default-adjusted-spreads to get a rich/cheap indicator for each bond. Based on my preliminary results, there are no subst...