Very strange question. Traders are the ones asking for limits so of course they will be part of the negotiations. Are you suggesting risk management negotiate with themselves?

<t>QuoteOriginally posted by: KackToodlesQuoteOriginally posted by: Gmike2000why is the upside in fixed income limited? do you ever see a bond run up 10 times in value, or 100 times in value like google stock? fixed income is based on formulas; once you have the formulas coded up, any monkey PM can ...

10-15% last fall.. that's where they traded then.

<r>QuoteOriginally posted by: AlphaNumericusP.S. Here's a related paper:<URL url="http://papers.ssrn.com/sol3/papers.cfm?abstract_id=717344This"><LINK_TEXT text="http://papers.ssrn.com/sol3/papers.cfm? ... 717344This">http://papers.ssrn.com/sol3/papers.cfm?abstract_id=717344This</LINK_TEXT></URL> pa...

I don't really understand your question.... You don't know what skew is?

<t>Credit spreads and swap sprads have very little in common these days. The credit is risk in swaps is so small that it can almost be neglected. If you have a credit crisis today, you would see credit spreads wider and swap spreads tighter. Why?.. Because the flight to quality would be executed thr...

<t>The correlation depends on the time frame.. In the late 90s spreads were negatively correlated with USTs. As Treasuries rallied, spreads widened to compensate, and all-in yields moved significantly less than Treasury ylds. (Consequently, swaption vol traded a lot lower than UST vol)Over the past ...

EOD priceshttp://www.markit.com/abx.jsp

Options on ZCBs don't trade readily in the mkt.Use implied volss from regular bond/note options and adjust them for the difference in duration.

<t>Quants with personalities and tempers that fit for traders will make excellent traders. In this case the quant background makes for GREAT transferrable skills. However, this seems to be quite rare. The ex-quants that I've seen on the trading desks have been trading exotics. Sales and trading is m...

<t>The lognormal distribution becomes complete crap as ylds approach 0%, so clearly it cannot be used for lower strike options. There is no standard for the brokers. Most of them report skews as Black vol skews. As soon as the market moves, these skews have to be re-calculated. The way the brokers k...

<t>Not sure if I understand your q right.. Anyway, w.r.t. the interest rate options mkt, there is a general consensus that the distribution of prices is better represented by a normal, instead of a lognormal distribution. The main problem with the lognormal model is that as yield approach 0%, the mo...

<t>QuoteOriginally posted by: JQuoteOriginally posted by: jomniPassive strategy = buy and hold, ride the market (Passive strategy can also generate significant alphas depending on the structure of the portfolio).I think pcg is sayting that Alpha does not capture the additional "active management" ri...

what did the original post say?

What are you talking about here???