Hi Bearish, Yes, I mean the GS model where you have a group of "strategists" who devise strategies and IT for front office.  Prop trading in the sense that they devise various "hedge" and other strategies for traders to take on, which are largely proprietary in nature and not purely for hedge purpos...

Hello Wilmotters, I was just wondering how many of you have to deal with the "strategist" (a.k.a. "strats") model of business nowadays? Everyone or only a certain portion of the quantitative world?  It seems to me like this "business model" is effectively a new prop desk that trades by proxy instead...

QuoteOriginally posted by: outrununknown number of victims in terrorist shooting in Colorado SpringsMeh...Colorado Springs...boooooored. to. tears.

<t>The collateral that you are allowed to post is "regulated" by the CSA. You tend to have cash (EUR, USD, GBP) valued at 100%. Then you have government bonds (<1y, 1y-<5y, 5y-<10y, 10y-<15y for the most part), which the ISDA standard (and most credit standards) allow you to use US Treasuries, UK Gi...

Traden4AlphaAye! Twas a beautiful world in which every gentleman seller had a gentleman buyer and all the gentleman financial firms could bank on mark-to-market.Ruined by computers, it was!<like>

<t>Hi,You would never actually outright "sell" the bond on the market. Most of these kind of short selling transactions are done via repo / rev repo because they are much cheaper than taking an outright position.In any case, you would effectively take out a loan of 100 from Bank A at x% interest and...

<t>There was also a pretty good article written about Robert Citron's repo shenanigans while he was Orange County treasurer. I have the article, if you drop me a pn with your email I can send you a copy of it.In any case, in a true transaction like this you would never outright sell the bond, as you...

Heeeeeello Is it gramatically correct to use a "," when you're calling someone "b" in a sentence?Sincerely,Me

<r>What exactly are you doing in counterparty credit risk? I ask because teams that deal with exposure management of OTC derivative portfolios are pretty obscure and specialized teams that only banks tend to have. That means that you have, based on my own experience, a really limited selection of re...

<t>This is one of my most memorable exchanges ever:Corporate IR sales: ummm could you give me the results for this deal? Does it fit into our lines?CB: I sent the results and the approval to you two minutes ago and approved it with you on the phone. What's up?Corporate IR sales: I don't remember thi...

<t>Well, my first question would be: what confidence interval do you use to calculate your PFE's? 99%? 97.5%? 95%? 90%? Depending on how you do it, you can calculate very general add-ons by pulling currency (EURUSD, USDGBP, etc) volatility figures from Bloomberg and then use a GBM to calculate your ...

<t>This thread has gotten more interesting from my first read a few days ago. Dominic - I definitely agree with what you are saying. And I have, in the course of several headhunter related "applications" to some consulting firms, brought up the fact that they are very light on members with "operatio...

<t>QuoteOriginally posted by: DominicConnorStatGuy may have had a better than average experience in the big consultancies...It may be that the best move forward in this market is to go to a big4 outfit, I would not criticise this, as long as you knew the score. The single most unhappy group of peopl...

I was totally calm, I just didn't understand the reference till right now with your link. He seems more like a stout snob, so eh..Greeeeetings from Bulgaria, land of the 2l beer bottle.

<t>I'm going to ask you a few questions and they should steer you to the right answer:1) who is buying what currency? What kind of option/forward are you buying by selling the counterparty this structure?2) is there leverage? 3) what is your worst case?4) are you able to accurately model and simulat...