Sorry i was more asking help about real risk measure of a FX spot portfolio, maybe using PCAs ... Thanks for your help

Is that a big secret or nobody knows ? Please help ...

<t>No this doesnt really make sense that the currency in which you compute your PnL makes the difference. This is a misconception i made at the beginning, but actually this is because you made very big moves in your rates, try with 0.01% difference to see... Usually you have positions in millions an...

<t>Ok, thanks mars, now i think we have the same vision of the problem. But i think there is more to do for real trading. In my example with EUR,USD and CHF when EURCHF moves, which other currency pair is the most likely to move ? EURUSD or USDCHF ? I would say most likely they move in the same dire...

<t>Hi,Thanks for your reply, however i should disagree with this amswer, maybe i misunderstood it ?Let's assume i have the following positions in my portfolio: (in millions)EUR +10USD -25CHF +15and EURUSD=1.32 USDCHF=1.22 => EURCHF=1.6104I pick EURCHF now and bump it, here are the results depending ...

<t>Hi all,I am trying to measure the exposition of a given portfolio in FX marekts. Let's say i made some deals in some currency pairs (eg EURUSD, EURGBP, USDGBP to keep it simple) so i have some positions in my portfolio :EUR +3USD +1GBP -4 (all measured in millions of EUR) so my PnL at this time i...

Also you can find a VBA project here : http://homepages.nyu.edu/~sl1544/articles.html

There is something called move based volatility estimation, you can find more information on the web. I think the main result is vol=alpha*sqrt[V(alpha,T)/T] where V(alpha,T) is the number of times that ln(S) moves by alpha.

<t>Something is not clear in what you say on computing the volatility of the series. You should do this by calculating the st dev of log returns and not of prices.Then you should generate enough prices to have it converge. The convergence speed should be in sqrt (1/N) where N is the number of simula...

Does anyone know if some banks/hedge funds have this kind of business within their firms ?Thanks !

<t>I understand what you mean, the concepts would be very different i am sure but you also have more instruments than you say by considering every single maturity and there may be a link between them. If the curve is smooth except for one point (one maturity) this may be not normal. And then you hav...

<t>Hi,I am a recent graduate and i have the choice for stat arb between the FI world or the Equities one where i already have a foot in...I am wondering what would people advise for stat arb in the Fixed income world since i do not know much about it. Is it gonna expend, do a lot of banks have desks...

<t>I do agree with your intuition, let's say you take only two stocks and two different correlations : -1 and +1 :if correl = -1 then avg return=0 and price = 0if correl = +1 then avg return = either -r or +r and price =r/2 roughly...There must be something wrong with your simulation then i believe....

Check your PM

Just FYI, you can also use PCA for this, and you could show the same results as for the interest rates, meaning you will get the same three factors explaining the moves in your curve. If you need further precised explanation on this, please ask me.