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by StructCred
January 3rd, 2012, 9:49 am
Forum: Student Forum
Topic: How do traders hedge IRS?
Replies: 8
Views: 16883

How do traders hedge IRS?

You trade an offsetting 3Y IRS, since it's the most liquid instrument.
by StructCred
December 14th, 2011, 8:03 pm
Forum: General Forum
Topic: valuation hints needed
Replies: 4
Views: 15759

valuation hints needed

Google for Vol Bond
by StructCred
November 11th, 2011, 6:45 am
Forum: Careers Forum
Topic: Credit research as a path to credit trading ?
Replies: 5
Views: 17278

Credit research as a path to credit trading ?

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.
by StructCred
February 27th, 2011, 2:24 pm
Forum: General Forum
Topic: 2s vs 10s swap curve
Replies: 9
Views: 22449

2s vs 10s swap curve

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.
by StructCred
December 28th, 2010, 8:33 pm
Forum: Technical Forum
Topic: Hedging CDS in foreign currency
Replies: 9
Views: 25622

Hedging CDS in foreign currency

<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...
by StructCred
December 28th, 2010, 12:14 pm
Forum: Technical Forum
Topic: Hedging CDS in foreign currency
Replies: 9
Views: 25622

Hedging CDS in foreign currency

<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...
by StructCred
December 25th, 2010, 9:53 am
Forum: Technical Forum
Topic: Hedging CDS in foreign currency
Replies: 9
Views: 25622

Hedging CDS in foreign currency

<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 ...
by StructCred
December 21st, 2010, 6:42 am
Forum: General Forum
Topic: Basis Risk
Replies: 1
Views: 24399

Basis Risk

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".
by StructCred
December 20th, 2010, 7:57 pm
Forum: Student Forum
Topic: Mapping of trade on CDS to spread curve
Replies: 8
Views: 23927

Mapping of trade on CDS to spread curve

If your trader can't provide this information, mapping curves is the least of your worries.
by StructCred
December 18th, 2010, 9:32 am
Forum: Student Forum
Topic: Mapping of trade on CDS to spread curve
Replies: 8
Views: 23927

Mapping of trade on CDS to spread curve

The confirm for the trade should state the reference entity, seniority, restructuring and currency.
by StructCred
December 5th, 2010, 5:26 pm
Forum: Student Forum
Topic: ARIMA notation
Replies: 5
Views: 24078

ARIMA notation

Because ARIMA(0,1,0) is an AR(1) process with coefficient of 1?
by StructCred
October 12th, 2010, 5:41 pm
Forum: Careers Forum
Topic: Front Office vs Back Office... straightforward decision?
Replies: 15
Views: 26566

Front Office vs Back Office... straightforward decision?

wtf are you in doubt for??
by StructCred
September 22nd, 2010, 6:49 pm
Forum: General Forum
Topic: Which CDS maturities are most liquid? (beyond 5y)
Replies: 3
Views: 26962

Which CDS maturities are most liquid? (beyond 5y)

<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...
by StructCred
May 23rd, 2010, 7:54 am
Forum: Student Forum
Topic: Hedging the credit spread risk from an issuer's perspective
Replies: 7
Views: 162217

Hedging the credit spread risk from an issuer's perspective

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.
by StructCred
May 6th, 2010, 6:57 pm
Forum: General Forum
Topic: Credit FTD - Zero Correlation Implications
Replies: 1
Views: 28294

Credit FTD - Zero Correlation Implications

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.
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