SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by zmfactor
March 9th, 2017, 6:06 pm
Forum: General Forum
Topic: Rates - Pricing Model Limitations/Issues
Replies: 14
Views: 1846

Re: Rates - Pricing Model Limitations/Issues

Any recommended articles/books on this topic?
by zmfactor
March 8th, 2017, 10:49 pm
Forum: General Forum
Topic: Rates - Pricing Model Limitations/Issues
Replies: 14
Views: 1846

Re: Rates - Pricing Model Limitations/Issues

Inconsistent evolution of rates generated by a calibrated model to reality on ground. Second that. Basically all quantitative finance models going back to Bachelier, Samuelson, Black-Scholes and the whole industry on top of that are wrong. Quantitative analysts are a dying breed. Any specific produ...
by zmfactor
March 7th, 2017, 8:30 pm
Forum: General Forum
Topic: Rates - Pricing Model Limitations/Issues
Replies: 14
Views: 1846

Rates - Pricing Model Limitations/Issues

What are some pricing model limitations/issues you have seen, with respect to rates products?

I know this is a very broad question. Just wanted to get a sense of what people have seen.
by zmfactor
March 1st, 2017, 11:00 pm
Forum: General Forum
Topic: Receiver Swaption / Yield Curve Steepening
Replies: 3
Views: 788

Receiver Swaption / Yield Curve Steepening

Let's say I am holding a receiver swaption (European).
When the yield curve steepens, do I make money, or lose money?

Do I gain (or lose) more if my swaption is Bermudan instead of European?
by zmfactor
February 24th, 2017, 2:59 pm
Forum: General Forum
Topic: Interview Prep - Rates Risk Manager
Replies: 1
Views: 692

Interview Prep - Rates Risk Manager

Interview with a Wall Street bank, for the position of Rates Risk Manager. 
What does one need to know for the interview?
What kind of questions should one expect?
by zmfactor
February 14th, 2017, 3:13 pm
Forum: General Forum
Topic: STRIPS Coupons vs Principals
Replies: 18
Views: 1950

Re: STRIPS Coupons vs Principals

I am by no means an expert.  But, in general, why should the Ps and Cs trade identically, given a difference in their respective durations, convexities, etc, however small? Take a P and a C, both with the same maturity date. Wouldn't you expect them to have the same duration, convexity, etc. since ...
by zmfactor
February 14th, 2017, 3:07 pm
Forum: General Forum
Topic: STRIPS Coupons vs Principals
Replies: 18
Views: 1950

Re: STRIPS Coupons vs Principals

Back on topic, are you referring to a basis between the yields on a coupon versus a principal return on the same future date? Yes, C-strips yields tend to be higher than P-strips yields, for the same maturity date. Given that stripped coupons and principals can be reconstituted into bonds and sold ...
by zmfactor
February 13th, 2017, 3:30 pm
Forum: General Forum
Topic: STRIPS Coupons vs Principals
Replies: 18
Views: 1950

STRIPS Coupons vs Principals

Why is there a basis between Treasury STRIPS Coupons vs. Principals?

The answer usually given is that there is a supply-demand imbalance.
But then the follow-up question is: why is there a supply-demand imbalance?
by zmfactor
September 21st, 2016, 10:17 pm
Forum: General Forum
Topic: VaR -- Upper and Lower Bounds
Replies: 11
Views: 1433

Re: VaR -- Upper and Lower Bounds

or implied volatility shocks?
Imagine it's a portfolio with very short dated options, in which case vega would be very low (and large gamma), I think.
by zmfactor
September 21st, 2016, 10:14 pm
Forum: General Forum
Topic: VaR -- Upper and Lower Bounds
Replies: 11
Views: 1433

Re: VaR -- Upper and Lower Bounds

But what about theta?
Yes, agreed ... you can lose money via theta if the market stays very quiet.
But the VaR model I'm working with actually doesn't capture theta.
by zmfactor
September 20th, 2016, 8:31 pm
Forum: General Forum
Topic: VaR -- Upper and Lower Bounds
Replies: 11
Views: 1433

Re: VaR -- Upper and Lower Bounds

So to summarize, in the general case it seems that the upper/lower bounds of VaR are really not that obvious. The upper bound is really not VaR (A) + VaR (B) due to the issue of super additivity, e.g. VaR (A + B) > VaR (A) + VaR (B). as mentioned above. As for the lower bound, the example given by o...
by zmfactor
September 14th, 2016, 8:44 pm
Forum: General Forum
Topic: VaR -- Upper and Lower Bounds
Replies: 11
Views: 1433

VaR -- Upper and Lower Bounds

Got asked this question during an interview:

Consider a portfolio with two assets, A and B. 
What are the upper and lower bounds for the portfolio's VaR?
by zmfactor
July 6th, 2016, 5:15 pm
Forum: General Forum
Topic: vega length
Replies: 5
Views: 587

vega length

When a commodities option trader says "vega length increased", what are they exactly referring to? What's the difference between saying "vega increased" vs "vega length increased"?
by zmfactor
June 23rd, 2009, 7:53 pm
Forum: Careers Forum
Topic: Fixed Income Analytics vs. Risk Management
Replies: 1
Views: 37693

Fixed Income Analytics vs. Risk Management

<t>Please help! I am trying to decide between two job offers. One is a position in fixed income analytics with a broker-dealer in Chicago, while the other is an analyst position in market risk management of a commercial bank. What kind of career will each lead to? How will they be different?I gradua...
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