Thanks Alan. Already started doing so !Separately , do you also mean to say there is no "know it all" kinda bible for budding asset managers to understand and develop strong base ?

<t>Hey Meelo - I joined this AMC from an Investment Bank with exposure to pricing derivatives like Credit Derivatives. The team was small and our normal working day mostly involved working on various pricing models. More of an quantitative role so to say.However scenario (in AMC) here is different ....

<t>Hi AllI have recently joined an asset management company and now work as an analyst. I am interested in any reading material ( papers/books/journals/websites/blogs etc.) which can help me make sense of the money flow between various types of assets like bonds,equities,FX,Gold,economies etc.I unde...

<t>Hi All - can any one please explain me the use and significance of Zero Coupon Swap with accreted notionals ?I wanted to price a Zero with Funding Spread.Lets say my Treasury gives me 3m EURIBOR + 50 bps for 5yr. Now if I want par back at Maturity then I used to price as below;5y Discount Factor ...

Thanks Maelo.This helps.

<t>Hey All - I am working in Credit Derivative Business from around a couple of years. However I have recently started working on the documentation of Credit Derivatives/ISDA Agreements. Hence although I am familiar with basic and moderately technical stuff of CDS/Swaps/IRS etc., I am completely new...

Thanks a lot . I will grab hold of these two ASAP.

<t>Hi All - I am not a beginner just to confirm.Working for Derivative Industry requires me ,on a daily basis, to interact with CDS , Bonds , IRS , etc. Senior Traders . The daily terminologies like DAIGR 11's , Spread above MS and above BM , Risk adjusted Delta etc. are not so quick to understand o...

I assume it is meant that accrued spread is very low to be accounted .However for CDS MTM wont it be simply :- Spread (T+1) X Risky DV01 (T+1) - Spread( T) X Risky DV01 (T).

hey - didnt you try John C Hull and White ?

<t>Hey - I suppose Asset swap spread reflects the difference between the market price of the bond and the net PV ( from the Day you enter) of the fixed cash flows of the bond.So if your bond's dirty price is lets say 105% and pays a coupon of 5.5% at the time when swap spread is ~5% then the counter...

yeah supporting that..I would say that we use LogNormal Resturns as an substitute only for valuing those securities whose pricing formula assumes that a Log. of certain variable follows normal distribution. Be it, Black Scholes , copula etc. these generally assume the same thing.Cheers

yeah..I think the question is how would we charge the illiquidity risk in a bond price?

<t>Hey StructCred - You sound good and as far as studying trades wrt Book Level is concerned the only feasible way is to get roughly the risk sensitivities of the book wrt the tradable parameter be it IR , FX , CDS Spreads etc.But still technically spreaking the question and methodology that Samkhal...