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by dvl84
October 22nd, 2010, 7:22 am
Forum: Trading Forum
Topic: Swap..Euribor hedge
Replies: 20
Views: 32700

Swap..Euribor hedge

<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...
by dvl84
October 21st, 2010, 8:48 am
Forum: Trading Forum
Topic: Swap..Euribor hedge
Replies: 20
Views: 32700

Swap..Euribor hedge

Is there someone who got a good suggestion what to read for convexity/financing bias correction in euribor contracts?
by dvl84
October 20th, 2010, 3:15 pm
Forum: Trading Forum
Topic: Swap..Euribor hedge
Replies: 20
Views: 32700

Swap..Euribor hedge

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.
by dvl84
October 19th, 2010, 2:20 pm
Forum: Book And Research Paper Forum
Topic: Credit default risk for small/medium sized firms
Replies: 1
Views: 26477

Credit default risk for small/medium sized firms

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.
by dvl84
October 19th, 2010, 8:13 am
Forum: Trading Forum
Topic: Quanto CDS trading
Replies: 5
Views: 26015

Quanto CDS trading

<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...
by dvl84
October 19th, 2010, 8:06 am
Forum: Economics Forum
Topic: Recovery rate for housing foreclosures
Replies: 3
Views: 34452

Recovery rate for housing foreclosures

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.
by dvl84
October 15th, 2010, 9:19 pm
Forum: Trading Forum
Topic: Vanilla CDS trading
Replies: 4
Views: 29007

Vanilla CDS trading

<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...
by dvl84
July 8th, 2010, 2:44 pm
Forum: Trading Forum
Topic: greek bonds
Replies: 3
Views: 26663

greek bonds

Most trade OTC though
by dvl84
July 8th, 2010, 10:44 am
Forum: Student Forum
Topic: Approximating CDO^2s
Replies: 5
Views: 27451

Approximating CDO^2s

<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...
by dvl84
July 7th, 2010, 6:32 pm
Forum: Student Forum
Topic: Extract Itraxx CDS spreads from Bloomberg
Replies: 5
Views: 32573

Extract Itraxx CDS spreads from Bloomberg

typical question for <help><help> I guess...
by dvl84
July 7th, 2010, 6:28 pm
Forum: Student Forum
Topic: Approximating CDO^2s
Replies: 5
Views: 27451

Approximating CDO^2s

<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...
by dvl84
July 7th, 2010, 5:30 pm
Forum: Student Forum
Topic: General Question with SNAC EUR/USD CDS Deals
Replies: 2
Views: 27808

General Question with SNAC EUR/USD CDS Deals

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