<t>QuoteOriginally posted by: MartinghoulWell, I don't really understand what the goal might be here... The best hedge for a 10y swap position is an unwind or, equivalently, a new offsetting 10y swap. Why exactly the need to hedge it with Euribors and fwd-starting swaps?If you are a market maker the...

Is there someone who got a good suggestion what to read for convexity/financing bias correction in euribor contracts?

As far as I know most swaps are hedged with euribors, for longer dated swaps market makers will also buy/sell some bunds. After that many people will try to do a curve trade 10/30s or so - to end up with a euribors vs swap position.

Can't really help but I guess Logit/Probit is the most logical step to take. There are loads of books/papers about Logit/Probit models in general.

<t>Makes sense to me.. Assume QE will make credit rally you'll see CDX going tighter vs Itraxx when you get QE in the US and not in europe, apart from that eur will appreciate because the fed is printing money.short CDX protection is correct / you can do this in EUR to make sure your relative notion...

Will depend on the LTV of the loan and apart from that.. where the house is located, single family/multi family etc. - I think there won't be an easy answer.

<t>There is no similarity to IRS trading where you immediately trade some bund/bob/schatz or euribors when you do a swap trade as market maker. In general CDS market makers can trade a single name CDS relatively easy via the brokers in 5yr. So when you get hit/lifted in a name where you don't like t...

Most trade OTC though

<t>sure, let's say this.. say you got 5 inner CDO's - those all got a tranche of 3-5% and using those 5 tranches a new CDO it 'built' where you got a 12-15% tranche. Instead of modelling all these CDO's where do you go wrong if you would model a single portfolio (consisting of all the 5 inner portfo...

typical question for <help><help> I guess...

<t>Most synth CDO^2 that were sold were actually 'CDO^2 with cross subordination' - meaning that if your tranche was about to get 'hit' in any of the inner, any further losses in this inner would be absorbed by subordination in any other inner. This effectively makes it a 'normal' tranche. If you wa...

CDS is all OTC so if you wanna trade TOKYO calendar, there will most likely be someone to quote you that...