You trade an offsetting 3Y IRS, since it's the most liquid instrument.

Google for Vol Bond

Assuming the credit research job is in the IB, This type of move isn't uncommon. It happens more often on high yield side than ig. Few IBs still have publishing credit research groups left, most of them are desk research these days and sit with traders.

QuoteIf my vanilla IRS portfolio has a negative DV01.does that mean I am Net short the market,and the portfolio is net pay fixed and recive float .will benefit from a upward parallel shift to the yield curve.No.

<t>If you take a basis package in your domestic currency and a basis package in a foreign currency, the difference between the two should IN THEORY be equal to cross currency basis swap. In reality this doesn't always hold true. Why do you want to hedge out the bond-cds basis (even if there was an i...

<t>If correlation is zero, you can indeed just multiply you pd by fx and hedge that with tradable cds. If your default probs are correlated, you can use a model to take it into account. In both cases, your big concern is the bid-offer you'll be crossing on CDS while dynamically hedging. As such, I w...

<t>The first question is - what currency are you hedging to? You mentioned your bond is in your local currency. Are you happy to receive flows in this currency and just want to hedge out the credit risk? If that's the case, cross currency basis swap won't be a hedge at all. Since CDS is an unfunded ...

These are dv01's in respect to different measures, so they aren't additive. For a fixed coupon bond your rate and basis dv01's should be about the same. Think of them as about any other greeks - you wouldn't want to add up your delta + vega to get "total risk".

If your trader can't provide this information, mapping curves is the least of your worries.

The confirm for the trade should state the reference entity, seniority, restructuring and currency.

Because ARIMA(0,1,0) is an AR(1) process with coefficient of 1?

wtf are you in doubt for??

<t>This would indeed greatly depend on how you measure liquidity. Delta? Notional? In general I would disagree with friesenjung though. 10Y has been a pain to trade in a lot of names lately. I'd say the most liquid tenor after 5Y is .... 4Y. Plenty of people out there who neglected/forgot to roll th...

I wouldn't say it's common, but some firms have looked at trading credit forwards for this purpose. A credit forward would let the firm get credit delta they need without paying for JTD protection and helps avoid any appearance of betting on their own demise.

In theory, if you correlation is zero, on default of one name you expect the spreads of other names to be unchanged. If that's the case, you just unwind your remaining hedges with zero mark to market. In practice this is bs.