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by AlanB
July 16th, 2018, 12:14 pm
Forum: General Forum
Topic: tenor basis swap spreads and compounding
Replies: 3
Views: 772

Re: tenor basis swap spreads and compounding

test
by AlanB
January 16th, 2015, 12:53 pm
Forum: Trading Forum
Topic: Swiss Move to Drop Rate Limit Against Euro Stuns Markets
Replies: 14
Views: 5535

Swiss Move to Drop Rate Limit Against Euro Stuns Markets

True, those who held the Swiss franc profited handsomely. But what happens when (NOT if) the franc free falls? The question then becomes why is the Swiss franc a safe haven? What makes it so special?
by AlanB
January 15th, 2015, 2:47 pm
Forum: Trading Forum
Topic: Swiss Move to Drop Rate Limit Against Euro Stuns Markets
Replies: 14
Views: 5535

Swiss Move to Drop Rate Limit Against Euro Stuns Markets

<t>"They're most likely anticipating huge demands for CHF (safe haven currency) in the near future, since they the central bankcan't defend and hold the ceiling if excess demand occurs. "You can buy only so many CHF for the near future, you'll run out and then...(?)..... The problem doesn't go away....
by AlanB
January 15th, 2015, 11:43 am
Forum: Trading Forum
Topic: Swiss Move to Drop Rate Limit Against Euro Stuns Markets
Replies: 14
Views: 5535

Swiss Move to Drop Rate Limit Against Euro Stuns Markets

<t>"The Swiss National Bank said that it was discontinuing the minimum exchange rate of Swiss francs against the euro, sending the franc soaring against other currencies.", David Jolly, New York Times, 1.15.15I'm not a currency trading expert by any stretch of the imagination. To me the above line s...
by AlanB
March 5th, 2013, 5:34 pm
Forum: Careers Forum
Topic: Destroyed at final interview
Replies: 99
Views: 14845

Destroyed at final interview

EscapeArtist999!!!! ????????QuoteOriginally posted by: EscapeArtist999AlanB!!!!!
by AlanB
March 5th, 2013, 5:22 pm
Forum: Careers Forum
Topic: Destroyed at final interview
Replies: 99
Views: 14845

Destroyed at final interview

<t>It turns out most people don't know shit about how to perform an interview. Giving a test IS NOT INTERVIEWING. It should be a discussion, where the interviewer has picked topics and asks (cleverly constructed) questions so as to learn what the candidate knows, does not know, is or is not willing ...
by AlanB
January 14th, 2013, 7:49 pm
Forum: Economics Forum
Topic: Default Probability and Macroeconomic Factors
Replies: 5
Views: 10136

Default Probability and Macroeconomic Factors

<t>Thanks Anthis. I ran across this paper several times. I was looking for something more analytically detailed. I tried to get Wilson's two notes published in Risk magazine in 1997 (assuming they were more detailed), but to no avail. Again, thanks for the help. QuoteOriginally posted by: AnthisHTH ...
by AlanB
January 14th, 2013, 7:45 pm
Forum: Book And Research Paper Forum
Topic: Default Probability and Macroeconomic Fators
Replies: 5
Views: 9920

Default Probability and Macroeconomic Fators

Thanks for the suggestions. QuoteOriginally posted by: AlanAlthough much maligned, your best bet might be ratings agency research (if you can get access to it) for the non-financials,and perhaps Federal reserve branch publications for the financials.
by AlanB
January 14th, 2013, 6:18 pm
Forum: Book And Research Paper Forum
Topic: Default Probability and Macroeconomic Fators
Replies: 5
Views: 9920

Default Probability and Macroeconomic Fators

Good question. I guess my immediate interest is in the relation for financial and non-financial institutionsQuoteOriginally posted by: AlanThe default of what (corporations, individuals, municipalities ...) ?
by AlanB
January 14th, 2013, 3:00 pm
Forum: Book And Research Paper Forum
Topic: Default Probability and Macroeconomic Fators
Replies: 5
Views: 9920

Default Probability and Macroeconomic Fators

<t>I'm trying to find literature and or research performed on the relationship between the probability of default and (exogenous) macroeconomic factors (such as GDP, CPI, Unemployment Rates, Interest rates, ...etc.). I've found some limited sources (papers by Y.Qu, by J.A. Chan-Lau). Most seem to ha...
by AlanB
January 14th, 2013, 2:59 pm
Forum: Economics Forum
Topic: Default Probability and Macroeconomic Factors
Replies: 5
Views: 10136

Default Probability and Macroeconomic Factors

<t>I'm trying to find literature and or research performed on the relationship between the probability of default and (exogenous) macroeconomic factors (such as GDP, CPI, Unemployment Rates, Interest rates, ...etc.). I've found some limited sources (papers by Y.Qu, by J.A. Chan-Lau). Most seem to ha...
by AlanB
January 14th, 2013, 2:58 pm
Forum: General Forum
Topic: Default Probabilty and MacroEconomic Factors
Replies: 0
Views: 8757

Default Probabilty and MacroEconomic Factors

<t>I'm trying to find literature and or research performed on the relationship between the probability of default and (exogenous) macroeconomic factors (such as GDP, CPI, Unemployment Rates, Interest rates, ...etc.). I've found some limited sources (papers by Y.Qu, by J.A. Chan-Lau). Most seem to ha...
by AlanB
August 21st, 2012, 2:47 pm
Forum: General Forum
Topic: Andreasen on young quants
Replies: 93
Views: 18932

Andreasen on young quants

<t>I've joined this thread late amd perhaps what I'm writing here has been written already by others - if so, I aplogize. I read Andreasen's comments and he is absolutely right about the young and the education system. If you take majors like "Communications", "International Studies", "Human Studies...
by AlanB
May 3rd, 2012, 11:05 am
Forum: General Forum
Topic: GARCH Code
Replies: 0
Views: 13172

GARCH Code

To save me some time....Does anyone have a Mathematica notebook that implements (univariate or multivariate) GARCH(1,1)?
by AlanB
February 1st, 2012, 7:46 pm
Forum: Technical Forum
Topic: Simple Problem?
Replies: 5
Views: 14594

Simple Problem?

<t>Forgive my ignorance - "original problem relates to random variables not to random processes" - could you elaborate?I do agree, though: correlation = E X ^3 = 0QuoteOriginally posted by: listoriginal problem relates to random variables not to random processes., ie correlation between X and X^2 is...
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