SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by qhedge
March 17th, 2015, 9:58 am
Forum: General Forum
Topic: Comprehensive Capital Review and Analysis
Replies: 6
Views: 3484

Comprehensive Capital Review and Analysis

Doubled.
by qhedge
March 17th, 2015, 9:58 am
Forum: General Forum
Topic: Comprehensive Capital Review and Analysis
Replies: 6
Views: 3484

Comprehensive Capital Review and Analysis

Translate the economic scenarios into changes of market factors (somehow subjective), using a good deal of historical analysis and correlations to justify the assumptions made.In your example you will estimate changes in thje FX rate, vol and IR levels.
by qhedge
February 19th, 2013, 10:34 am
Forum: General Forum
Topic: Basic question on iRS
Replies: 13
Views: 25781

Basic question on iRS

Try Flavell.
by qhedge
September 7th, 2012, 5:59 am
Forum: Economics Forum
Topic: kink on yield curve at 1 year tenor
Replies: 3
Views: 11953

kink on yield curve at 1 year tenor

ICVS then 33 for curve S23 ... shows you how they bootstrap the curves for the SWPM engine. No kink here as futures are used beyond 3M Libor.
by qhedge
August 21st, 2012, 6:21 am
Forum: Technical Forum
Topic: Benchmark Euro Swap Curve
Replies: 6
Views: 12152

Benchmark Euro Swap Curve

Try DOCS 2052133. It will give you tickers for Bbg boostrapped discount factors for various curves. You should be able to get some history on the same tickers. Would assume this is the quickest route if one is happy with Bbg bootstrapped curves.
by qhedge
January 4th, 2012, 9:35 am
Forum: Book And Research Paper Forum
Topic: New Book - Red-Blooded Risk: The Secret History of Wall Street by Aaron Brown
Replies: 14
Views: 25714

New Book - Red-Blooded Risk: The Secret History of Wall Street by Aaron Brown

Second that, definitely one of the most interesting and refreshing risk management reads published.
by qhedge
October 3rd, 2011, 9:05 am
Forum: General Forum
Topic: Bloomberg Symbol for Italy 10 Year Bond?
Replies: 5
Views: 20665

Bloomberg Symbol for Italy 10 Year Bond?

BTPS 4 ¾ 09/01/21
by qhedge
August 3rd, 2011, 6:36 am
Forum: Book And Research Paper Forum
Topic: DMO Website
Replies: 3
Views: 20337

DMO Website

Google shall be your friend.
by qhedge
April 28th, 2011, 6:13 am
Forum: General Forum
Topic: 6mLibor.USD vs 3mLibor.USD
Replies: 20
Views: 21786

6mLibor.USD vs 3mLibor.USD

A 12M indexed swap should be priced of a 12M fwd curve. If you use 6m fwd you'll definitely get it wrong. 6Mv12M basis is currently 13bp in EUR (5Y).
by qhedge
June 29th, 2010, 6:11 am
Forum: Book And Research Paper Forum
Topic: Interest rate Swaps
Replies: 12
Views: 37276

Interest rate Swaps

I quite like the new edition from Flavell.
by qhedge
June 11th, 2010, 6:28 am
Forum: General Forum
Topic: List of leading risk management services
Replies: 11
Views: 27573

List of leading risk management services

Algorithmics Risk Service
by qhedge
April 22nd, 2010, 5:53 am
Forum: Student Forum
Topic: Beta of Debt (DCF valuation)
Replies: 4
Views: 30360

Beta of Debt (DCF valuation)

How about duration?
by qhedge
February 17th, 2010, 7:14 am
Forum: Technical Forum
Topic: the parameter a in the Hull White one factor model
Replies: 7
Views: 32072

the parameter a in the Hull White one factor model

Google is your friend.
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