Anyone has any idea how a digital option hedge PAC bond ? Many thanks

My friend (PhD from Columbia), FICC at GS. Base 90K (equity derivative group)

Try "CDSD"or use "CDS" and "F1" to search function section

There is another yahoo group.http://finance.groups.yahoo.com/group/wsrr/

I have a quick question, does anyone know how LBOX is calcuated? I know it is in index on implied swaption vol, provided by Lehman. But I can't find the definition or methodology on Blooberg. Thanks! Cheers,

<t>Let's say US0003M (Libor 3M), and I want to do a scenario analysis After 12 months, Libor 3M will move as follows:+200 bps, +100 bps, Flat, -100 bps, -200 bps How to calculate the possibility for each scenario?I am using yield curve and 3M Cap Vol curve, run MC simulation to find solution.Any oth...

check LGD ( or recovery rate)

Anyone can help me out on this ?1-factor for HJM is good enough.Thanks

For equity correlation matrix: use equity returnFor default correlation matrix: I suggest you use1) CDS2) EDF3) E2C: Option pricing4) Asset swap ( need LGD adjustment)* Never try to convert equity correlation matrix to default correlation

<r>At section 47.16 it says:It is easy to program the MC simulations (on HJM)The only information I can find is "<URL url="http://www.math.nyu.edu/research/carrp/papers/pdf/hjm.pdf%22Can"><LINK_TEXT text="http://www.math.nyu.edu/research/carrp/ ... jm.pdf"Can">http://www.math.nyu.edu/research/c...

<t>This is my approach on calculating CVAR:Start from simple: one asset CVAR ( Ford motor CVAR)Step 1: CDS pricings on Ford in past two years, then calc log return arrayStep 2: Get distrubution chartStep 3: Historical CVARIf you can not find CDS pricing, use KMV's EDF or calib by using stock price/V...

Why qqq or spider ?Try Vanguard S&P index fund, because- Low cost, 0.19% for institutional account

<t>Can you give me few keywords that I can find the discussion on PCA ?Thanks* I got MS in Financial Eng at CU, and worked many years on street,BUT never really bother PCA or FA or Multi-factor before. I thoughtthat's only used in economic analysis. But it seems a popular topicin fund of funds (hedg...

Principal Components Analysis, or Factor AnalysisI went to few interviews with fund of funds (hedge fund), they allasked questions on PCA ?Why do I need to know PCA or FA ? How to use PCA or FA inhedge fund risk management ?Best Regards,Jason