<t>Hello,For our risk management system we need full credit spread curves for every combination of asset category and rating.However, the actual market data shows a lot of missing data in comparison of what we need, for example missing terms, missing ratings (BB and lower), etc.What is a sensible wa...

The concern is indeed that the EMU can have impact on the current behavior and the level of interest rates compared to historical observations.The alternative would be to use Bloomberg data from about the start of the EMU.

<t>Hello,The bundesbank website publishes historical data of the german government bond rates, given in the form of Nelson-Siegel-Svensson parameters. The data goes back from 1972. I want to use this data for risk management purposes, meaning fitting a distribution to those rates for a VaR calculati...

<t>Hello,I am trying to build a stochastic credit spread model for risk management purposes, based on historical data.What I see in this data is that for example in 2008, for a given rating the spread increased significantly and decreased significantly shortly thereafter. However, at the same moment...

Hello,I am looking for a real world stochastic credit spread model that can capture the historical distribution (i.e. fat tails), and can be generated for 1 year forward but also multiple years. Any suggestions?Thanks

Are these easy to expand to the multidimensional case? All the literature on this focuses on the univariate case.

<t>The purpose is as follows: given an externally given set of realisations (scenarios) at t=1, generated with a 1-year time step, determine the impact of (amongst others) a dynamic hedging program that is managed on a day-to-day basis.My guess is that something along the lines that outrun suggests ...

<t>Hello,For a risk management purpose (so real-world, no risk-neutral) I need a stochastic bridge such as the Brownian Bridge for the Brownian Motion, but then representing a process with stochastic volatility and jumps.The specifics of the stochastic volatility process and jumps are not the most i...

<t>Thanks for your responses.@ drmwc1: Yes, I have tried that, but it introduces an additional PSD problem (of the weights), it doesn't really work well.@ londoner: no, it more like an 70x70 matrix where for example 50 correlations are fixed.Anyone experience with the method of Qi and Sun in 'A quad...

Thanks guys.@ Traden4Alpha, I have tried your method under 1) but it does not converge

<t>Hello,Insurance companies often use large correlation matrices (say 100x100) including lots of correlations (between insurance risks for example) that are set using judgment.The resulting matrices are seldom positive semidefinite (PSD). Applying the standard methods of for example Rebonato and Ja...

Hello,I was wondering what is the longest historical period for which data on implied volatilities is available, and what is the relevant underlying index? Thanks

Hello,For interest rate models I have the book(s) of Andersen and Piterbarg, providing a complete and up-to-date overview of the relevant interest models and their use in hedging.Is there an equivalent book for equity models? What is your favorite and why? Thanks

<t>Hello,I am wondering what is a reasonable (and practical) approach or what is market practice for hedging the long term exposure of Variable Annuities?There are companies that assume a fixed volatility from year 5 or 10 on, based on historical data, which means that it doesn't show up in the gree...

Thanks, after looking again the code is clear to me now.