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by jimjohn
July 19th, 2011, 3:55 pm
Forum: Technical Forum
Topic: Standard Significance for Dickey Fuller Unit Root Test?
Replies: 1
Views: 18594

Standard Significance for Dickey Fuller Unit Root Test?

can someone plz tell me what the standard significance to be used for Dickey Fuller Unit ROot Tests for stationarity? Is it 95%, or 90%? Thanks!
by jimjohn
July 12th, 2011, 2:03 pm
Forum: General Forum
Topic: how to prove if mean reversion exists
Replies: 11
Views: 56848

how to prove if mean reversion exists

hi guys, can someone plz let me know how beta = b-1 as mentioned by bilbo1408? thanks!
by jimjohn
August 23rd, 2009, 9:49 pm
Forum: General Forum
Topic: Principal Component Analysis
Replies: 10
Views: 41044

Principal Component Analysis

<t>is anyone here familiar with conducting principal component analysis? I'm trying to run this on the US yield curve to come up with fewer uncorrelated variables. I understand that the first component produced is a shift, the second is a twist and the third is a butterfly. and that these first thre...
by jimjohn
January 7th, 2009, 5:00 pm
Forum: Student Forum
Topic: what causes a higher mean reversion rate?
Replies: 0
Views: 43683

what causes a higher mean reversion rate?

<t>just wondering if the values of a time series affects is mean reversion speed. for example, i notice that the mean reversion speeds are much higher for caps and swaptions than for swap rates. generally caps and swaptions are much higher than swap rates (22%ish historical average for the caps comp...
by jimjohn
December 9th, 2008, 4:44 pm
Forum: General Forum
Topic: Question about mean reversion
Replies: 2
Views: 45265

Question about mean reversion

<t>how do i interpret the mean reversion parameter inpu into the black-karasinski or vacisek models. is this just the annual percent that the data will revert to the mean? so for example, if i am currently at .25 and my mean reversion level is .75, and my mean reversion estimate is .5, then this mea...
by jimjohn
November 26th, 2008, 8:36 pm
Forum: Technical Forum
Topic: Black-Karansinki model for volatilities?
Replies: 0
Views: 45581

Black-Karansinki model for volatilities?

<t>If I have caps and swaptions, can I still use the Black-Karansinki model or does this only aopply to rates. I have swap rates, caps, and swaptions of different terms and I am estimating mean reversion using the black-karansinki equation. my results for some of the caps and swaptions are very high...
by jimjohn
November 18th, 2008, 3:19 pm
Forum: General Forum
Topic: how to prove if mean reversion exists
Replies: 11
Views: 56848

how to prove if mean reversion exists

<t>thanks a lot for all the replies guys! i just have a follow up.so since we are using the black-karasinski process, i tried regressing the following:ln (RT) - ln (RT-1) = B0 + a (Mu - ln (Rt)) * DTwhere RT is the rate at time T, DT is the change in Time, a is the mean reversion rate, and MU is the...
by jimjohn
November 13th, 2008, 2:32 pm
Forum: General Forum
Topic: how to prove if mean reversion exists
Replies: 11
Views: 56848

how to prove if mean reversion exists

i have historical data and i want to prove if mean reversion exists and if so, what my mean reversion is. does anyone have any suggestions how i can go about this? what kinds of methodologies i can implement to prove (quantify) mean reversion. thanks so much.
by jimjohn
November 12th, 2008, 4:05 pm
Forum: Student Forum
Topic: Incentive to Redeem calculation
Replies: 0
Views: 45801

Incentive to Redeem calculation

<t>can someone plz explain if this incentive equation below makes sense, and if so, can you plz explain how it works? i just dont understand how the PV formula actually calculates the PV of future cash flows on this investment. thanks! theres a one year investment (GIC) with an embedded option to re...
by jimjohn
August 28th, 2008, 9:05 pm
Forum: General Forum
Topic: those of you familiar with Funds Transfer Pricing in banks
Replies: 0
Views: 49010

those of you familiar with Funds Transfer Pricing in banks

<t>can someone plz help me understand this:There is a group that hedges mortgage commitments, based on an estimated funding ratio (the percentage of commitments they expect will fund next month). Now, they have agreed to increase the estimated funding ratio. Someone says: "will this cause slippage g...
by jimjohn
August 7th, 2008, 1:34 pm
Forum: General Forum
Topic: Funds Transfer Pricing in Banks
Replies: 3
Views: 50784

Funds Transfer Pricing in Banks

thanks! i just ordered the book, looked at the table of contents and it seems to have many relevant chapters.
by jimjohn
August 1st, 2008, 7:02 pm
Forum: General Forum
Topic: Funds Transfer Pricing in Banks
Replies: 3
Views: 50784

Funds Transfer Pricing in Banks

can anyone recommend any good books or online tutorials that explain Funds Transfer Pricing in banks. Thanks.
by jimjohn
July 31st, 2008, 4:06 pm
Forum: General Forum
Topic: Bankers Acceptances 101
Replies: 0
Views: 49997

Bankers Acceptances 101

<t>can someone plz confirm if this is right, or if not, can you correct me where I'm wrong? or if theres anything you want to add. I'm just trying to understand BA's. thx! ---------------------------------------------------------------------------------------------------- If a company is involved in...
by jimjohn
July 17th, 2008, 3:55 pm
Forum: General Forum
Topic: Mortgage Commitment Fallout Ratio Study Findings
Replies: 2
Views: 51222

Mortgage Commitment Fallout Ratio Study Findings

*bump anyone have any ideas?
by jimjohn
July 16th, 2008, 8:08 pm
Forum: General Forum
Topic: Mortgage Commitment Fallout Ratio Study Findings
Replies: 2
Views: 51222

Mortgage Commitment Fallout Ratio Study Findings

<t>I've been analyzing data to try and find a good regression model to predict the Funding Ratio on mortgage commitments (ie the percentage of customers who will find their commitments, instead of falling out of the pipeline).The maximum mortgage commitments issued are 4 months, ntohing more than th...
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