SERVING THE QUANTITATIVE FINANCE COMMUNITY

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by jomni
February 10th, 2005, 11:17 pm
Forum: Student Forum
Topic: Hedging the credit spread risk from an issuer's perspective
Replies: 7
Views: 162101

Hedging the credit spread risk from an issuer's perspective

Oh I though the company is to enter into a CDS on it's own bond issue(s).
by jomni
February 10th, 2005, 8:26 am
Forum: General Forum
Topic: Volume
Replies: 3
Views: 160034

Volume

Just like any banking transaction, larger volumes would give you better prices.Odd lots and small notionals would actually increase their overhead (monitoring, account administration, finding more coutnerparties).
by jomni
February 10th, 2005, 8:15 am
Forum: Student Forum
Topic: Distressed securities and sensitivity to interest rates.
Replies: 2
Views: 161255

Distressed securities and sensitivity to interest rates.

<t>"Distressed" securities do not have definite cash flows while "high yield" seucrities still have. They are not rate sensitive as your horizon and potential income is indefinite. You're yield will depend on whatever you are able to recover or assets you are able to claim... this does not depend on...
by jomni
February 10th, 2005, 8:09 am
Forum: Student Forum
Topic: Hedging the credit spread risk from an issuer's perspective
Replies: 7
Views: 162101

Hedging the credit spread risk from an issuer's perspective

<t>Interesting question.The real issue here is would anybody be willing so sell protection to an entity buying protection form itself. The fact that the company is buying protection for it's own bonds is questionable. That company is up to no good for sure. It could easily decide on defaulting and w...
by jomni
February 10th, 2005, 12:55 am
Forum: Student Forum
Topic: sovereign PD
Replies: 1
Views: 159747

sovereign PD

<t>I would suggest you check out the paper of Hull and White "Valuing Credit Default Swaps I: No Counterparty Default Risk" (2000).Theoretically, we assume that the difference between the value of a defaultable bond and a risk-free bond (both zero coupon and of the same tenor) is the present value o...
by jomni
February 7th, 2005, 12:09 am
Forum: Student Forum
Topic: Getting rid of seasonality
Replies: 1
Views: 160235

Getting rid of seasonality

<t>I agree that moving averages would get rid of seasonality in your data. This is called the secular trend.You just have to make sure you get the moving average of a time series with the same legth of the seasonal cycle.If the whole cycle lasts for a year, you get the 1-year moving average.If the w...
by jomni
February 3rd, 2005, 11:14 pm
Forum: Student Forum
Topic: Thesis troubles, please help me
Replies: 7
Views: 160715

Thesis troubles, please help me

<t>Are you trying to prove that there is a correlation, or there is no correlation?Well maybe the corellation you are looking for is non-existent.Instead of a Eurozone example, you may want to sample emerging markets, these may have better correlation with each other (but I'm not too sure). Sorry bu...
by jomni
February 3rd, 2005, 10:53 pm
Forum: Student Forum
Topic: Valuing Credit-Linked Notes and Bifurcation
Replies: 1
Views: 160589

Valuing Credit-Linked Notes and Bifurcation

<t>Anyone with an answer?The only thing I thought of is to value the LIBOR FRN using the above methodology and to use the Hull-White method to value the CDS portion.In that way, the FRN will be equal to 1 while the CDS will be 0 at the start of the contract.But there must me a simpler mathematical w...
by jomni
February 3rd, 2005, 1:01 am
Forum: Student Forum
Topic: Valuing Credit-Linked Notes and Bifurcation
Replies: 1
Views: 160589

Valuing Credit-Linked Notes and Bifurcation

<t>Ok here's my problem,I want to value a CLN that pays LIBOR + Credit Spread. And I want to split these into a single FRN that pays libor and a CDS that pays the Credit Spread.This is what I did to get the Value of the CLN (as a whole) is:1) I built a LIBOR spot yield curve using LIBOR and IR swap ...
by jomni
February 1st, 2005, 12:45 am
Forum: Student Forum
Topic: duration of a floating rate note
Replies: 12
Views: 164499

duration of a floating rate note

Ok one last question,kwchu mentioned that "the duration is the duration number of a FIXED rate bond with similar maturity". how do i go about getting this duration figure? Should I assume that the LIBOR part of the yield is also FIXED for the life of the bond as well?
by jomni
January 29th, 2005, 10:26 pm
Forum: Student Forum
Topic: duration of a floating rate note
Replies: 12
Views: 164499

duration of a floating rate note

Aaron,Ok, assuming I already have the spread, how do I go about the discounting? What discount rates, yield curves should I use? Can you give a simple example?
by jomni
January 28th, 2005, 8:29 am
Forum: Student Forum
Topic: duration of a floating rate note
Replies: 12
Views: 164499

duration of a floating rate note

Aaron,So how do you go about marking to market an FRN with a spread over LIBOR taking into consideration the chagnes in spreads like the flaoting leg of an Asset Swap and CDS?Jayson
by jomni
January 28th, 2005, 8:23 am
Forum: Student Forum
Topic: Valuation Questions (Asset Swaps, CDS, CLN)
Replies: 0
Views: 161800

Valuation Questions (Asset Swaps, CDS, CLN)

<t>Hi can anyone tell me how to go about valuation and mark-to-market of Asset Swaps, Credit Default Swaps, Credit-Linked Notes?All the text books just talk about pricing. Pricing is not a problem anymore because of all the prices quoted in the market. The problem is making use of the quotes to mark...
by jomni
January 28th, 2005, 8:09 am
Forum: Student Forum
Topic: Monte Carlo for Credit Default Swaps ?
Replies: 17
Views: 167978

Monte Carlo for Credit Default Swaps ?

I also want to know how CDS are valued and marked-to-market given the original and the current CDS spreads. (No need for monte carlo).
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