SERVING THE QUANTITATIVE FINANCE COMMUNITY

Search found 44 matches

by Anselmus
April 4th, 2009, 6:10 pm
Forum: Trading Forum
Topic: Formula to calculate implied default rates for a bond?
Replies: 24
Views: 68027

Formula to calculate implied default rates for a bond?

Quick and dirty is CDSW (I think the code is available for free).Take care about sensitivities to recovery values (!Lehman!) and the steepness/inversion of the credit curve.For cash bonds, you have to adjust for the basis / liquidity premium.
by Anselmus
February 23rd, 2009, 7:30 pm
Forum: General Forum
Topic: What's the safest bet right now? Any suggestions?
Replies: 20
Views: 45168

What's the safest bet right now? Any suggestions?

<t>Buy Govis from Finland and Germany in 5 yr space. Mix it with longterm oil contracts to profit from GDP noise risk trades, peak oil and possible longterm hyperinflation stories. Equity vol will be high for a signifcant time amount. So try to profit from trading significant boundaries. If this is ...
by Anselmus
December 31st, 2008, 12:00 pm
Forum: Trading Forum
Topic: CDS on US Gov
Replies: 20
Views: 48632

CDS on US Gov

<t>Exactly! Just look at Italy, Greece,.. in 10 year area. You don't get the point freddie mac. If you are an investment manager (in particular if you have (partly) a govi benchmark), mark-to-market risks are extremely important for you. Think about it - the market is so illiquid that Italy in 10y a...
by Anselmus
December 29th, 2008, 7:26 pm
Forum: Trading Forum
Topic: CDS on US Gov
Replies: 20
Views: 48632

CDS on US Gov

<t>I think many people don't get 2 important points:1. You maybe want to play country specific positions with CDS since the bid-ask spreads in govi bond space are extremely wide (apart from some exceptions: USA, Germany). If you take liquidity considerations into account, this is a very important is...
by Anselmus
December 29th, 2008, 7:16 pm
Forum: Trading Forum
Topic: Implications of Quantitative Easing
Replies: 3
Views: 45319

Implications of Quantitative Easing

<t>The obvious implications can be seen in the currency markets: printing money is never good for a currency (USD and anticipated for the GBP in the last 1-2 months). However, I am wondering about the negative implications on pension deficits. We had the biggest long end rally since at least 10 year...
by Anselmus
November 19th, 2008, 8:16 pm
Forum: Trading Forum
Topic: DOW will test 8000 in the next 18 months
Replies: 14
Views: 53653

DOW will test 8000 in the next 18 months

<t>QuoteOriginally posted by: Gmike2000QuoteOriginally posted by: AnselmusThe worst banking and housing crisis in the last 75 years, bursting EM bubbles, an increasing saving rate..... will cause the DOW to test the 8000 in the near future. Whats your opinion????every crisis has always been the "wor...
by Anselmus
November 17th, 2008, 9:12 pm
Forum: Careers Forum
Topic: Poll: The No.1 employer
Replies: 13
Views: 48802

Poll: The No.1 employer

My four choices:PIMCO, Renaissance, Goldman and Paulson & Co.
by Anselmus
October 1st, 2008, 8:37 pm
Forum: Trading Forum
Topic: refreshing values from bloomberg with vba
Replies: 2
Views: 49256

refreshing values from bloomberg with vba

Bloomberg normally provides some example API code for this (procedures,event handling,..). Ask your Sales representative. Then the relevant coding is extremely easy.
by Anselmus
September 29th, 2008, 7:48 pm
Forum: Trading Forum
Topic: Article that explains what is happening
Replies: 13
Views: 51241

Article that explains what is happening

Hey guys,I am posting about the current world economic crisis since December last year (also here: short i-banks and short oil at 146). If you are interested, you can find it at my bloghttp://martinschledde.wordpress.com/I appreciate every feedback.
by Anselmus
September 27th, 2008, 5:29 pm
Forum: Technical Forum
Topic: Probability of default from CDS spreads
Replies: 13
Views: 77151

Probability of default from CDS spreads

<t>If you calculate with random recovery (for instance, like sidenius & anderson), you have a (indirect) link with the pd: if your state variable is low(bad economy), you should get lower recovery values. This is a empircally well observed fact and makes a lot of sense. I don't know by heart but...
by Anselmus
September 14th, 2008, 11:01 am
Forum: General Forum
Topic: Why is Lehman in a hurry to look for a buyer?
Replies: 16
Views: 51279

Why is Lehman in a hurry to look for a buyer?

<t>Since the beginning of the year I told you Leh will go bust (or be merged in a hostile takeover). In June I said:"Subprime writedowns are mostly done but1) no revenue from structured products in near future2) I expect heavy lawsuits against rating agencies and i-banks - thats not discounted so fa...
by Anselmus
July 15th, 2008, 8:17 pm
Forum: General Forum
Topic: Lehman
Replies: 13
Views: 61596

Lehman

I was wrong. It will take max 6 months until there will be a "hostile" (taking price into account) merge!Everybody knows who is then the next in the game: it is not GS and it is not MS!
by Anselmus
July 15th, 2008, 8:11 pm
Forum: Trading Forum
Topic: DOW will test 8000 in the next 18 months
Replies: 14
Views: 53653

DOW will test 8000 in the next 18 months

<t>I always get the feeling that most people still underestimate the degree of crisis we are in. It's not about getting a deep world economic downturn anylonger - it's about avoiding a severe depression similiar to the 30s!Yes, I am a Quant. Nevertheless, I think about the world I live everyday.We w...
by Anselmus
July 9th, 2008, 8:20 pm
Forum: Trading Forum
Topic: DOW will test 8000 in the next 18 months
Replies: 14
Views: 53653

DOW will test 8000 in the next 18 months

The worst banking and housing crisis in the last 75 years, bursting EM bubbles, an increasing saving rate..... will cause the DOW to test the 8000 in the near future. Whats your opinion????
by Anselmus
June 10th, 2008, 5:42 pm
Forum: General Forum
Topic: Lehman
Replies: 13
Views: 61596

Lehman

<t>I think Leh will bust or be merged with another bank in the next 1,5 years. Subprime writedowns are mostly done but1) no revenue from structured products in near future2) I expect heavy lawsuits against rating agencies and i-banks - thats not discounted so far3) I expect swap curve to remain heav...
GZIP: On