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by Samsaveel
November 15th, 2016, 4:04 pm
Forum: General Forum
Topic: Is Hedgable a word?
Replies: 24
Views: 1820

Re: Is Hedgable a word?

Two things I notice in the comments.  One we do have a dictionary that defines this, though one for uncommon terms,  This is acceptable,  But, this dictionary shows that we have been misspelling and should be Hedgeable. Second, could we say "The portfolio is hedgeless?"  All other examples were for...
by Samsaveel
November 8th, 2016, 4:55 pm
Forum: Technical Forum
Topic: CVA marking
Replies: 4
Views: 923

Re: CVA marking

i think in the absence of liquid CDS's, equity plays a part in pd calibration, basel II.5 and FRTB has more on this under Incremental risk charge and FRTB default risk charge.
by Samsaveel
November 8th, 2016, 4:52 pm
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1623

Re: Credit curves for illiquid bonds

it is for risk management purposes, mainly corporate bonds issued in domestic currency (GCC /currency pegged to USD) . when priced off interbank curve, the price  does not reflect the illiquid nature of the underlying credit. My take on this is to start with the US treasury curve as base curve and ...
by Samsaveel
November 2nd, 2016, 2:30 am
Forum: General Forum
Topic: Materiality assessment of FXD smile on VaR
Replies: 0
Views: 337

Materiality assessment of FXD smile on VaR

I have the following Data for EURUSD.   A history of 500 days for ATM, 25DRR, 25DBB IV with 1- year  maturity I am thinking of a first order approximation to the Vega PnL (Hypothetical),not full reval How to get the VaR scenarios: 1) How to shock ATM vols, I am thinking relative ? 2) How to shock th...
by Samsaveel
October 24th, 2016, 3:40 am
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1623

Re: Credit curves for illiquid bonds

Sound like a good plan. Maybe also add a credit rating curve.  Depending on the type of analysis, a remaining shortcoming is that this doesn't capture the illiquidity premium risk factors.  E.g. if you look at two different illiquid bond tied to the same country curve, and you have a long position ...
by Samsaveel
October 12th, 2016, 7:10 pm
Forum: Economics Forum
Topic: Deutsche Bank problems
Replies: 30
Views: 3018

Re: Deutsche Bank problems

 Is a rescue plan against EU rules?
This regulation sheds some light on dealing with troubled EU financial Institutions.
DIRECTIVE 2014/59/EU OF THE EUROPEAN PARLIAMENT AND OF THE COUNCIL
by Samsaveel
October 12th, 2016, 6:39 pm
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1623

Re: Credit curves for illiquid bonds

it is for risk management purposes, mainly corporate bonds issued in domestic currency (GCC /currency pegged to USD) . when priced off interbank curve, the price  does not reflect the illiquid nature of the underlying credit. My take on this is to start with the US treasury curve as base curve and m...
by Samsaveel
October 11th, 2016, 4:44 pm
Forum: General Forum
Topic: Credit curves for illiquid bonds
Replies: 13
Views: 1623

Credit curves for illiquid bonds

any papers on how to build credit curves for illiquid bonds, looking here for frameworks to estimate spreads, illiquidity premium,country premium,etc.
by Samsaveel
October 2nd, 2016, 3:45 am
Forum: General Forum
Topic: 1-Day Volatility to h-Day Volatility: Scaling by SQRT N is Worse than You Think
Replies: 33
Views: 3312

Re: 1-Day Volatility to h-Day Volatility: Scaling by SQRT N is Worse than You Think

A strong claim regarding the square root of time rule ....from a practical point of view the square root of time method is adequate and aggressive for quantifying the regulatory risk of trading portfolios, a binding condition of testing the mathematical integrity of the method is "Positive Gamma". G...
by Samsaveel
September 18th, 2016, 1:50 pm
Forum: General Forum
Topic: an actuarial student in QFI track who wishes to break into top MFE
Replies: 5
Views: 855

Re: an actuarial student in QFI track who wishes to break into top MFE

Your claiming that your current MFE in Singapore is not giving you the kind of quant position you'r desiring, what is the quant position you desire ?  There are many domains where quants apply their skills, FO quants similar to Valuation Actuary's -focus on pricing of financial contracts and testing...
by Samsaveel
September 15th, 2016, 4:04 am
Forum: General Forum
Topic: VaR -- Upper and Lower Bounds
Replies: 11
Views: 1406

Re: 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? This falls under the domain of Risk aggregation under the assumption of dependent or independent risks. Correlation effects and VaR model assumpt...
by Samsaveel
September 7th, 2016, 5:00 am
Forum: General Forum
Topic: New Infrastructure Asset Class under amendments to regulation 2015/35 (Solvency II)
Replies: 11
Views: 800

Re: New Infrastructure Asset Class under amendments to regulation 2015/35 (Solvency II)

I see,  I'm under the impression that all infrastructure is in a separate asset class, not distributed/subdvided across listed/unlisited etc but I could be wrong. These formal documents never have enough specifics to uniquely define things. If I look at this: http://eur-lex.europa.eu/legal-content/...
by Samsaveel
September 6th, 2016, 3:51 am
Forum: General Forum
Topic: New Infrastructure Asset Class under amendments to regulation 2015/35 (Solvency II)
Replies: 11
Views: 800

Re: New Infrastructure Asset Class under amendments to regulation 2015/35 (Solvency II)

Yes I've worked with these models, I was even part of a small working group that worked on shaping future solvency models for EIOPA . Under solvency, -for your capital requirements-, you need to stress all sorts of valuation factors in a very simple way -interest curves, longevity, listed equity ma...
by Samsaveel
September 5th, 2016, 2:50 am
Forum: General Forum
Topic: New Infrastructure Asset Class under amendments to regulation 2015/35 (Solvency II)
Replies: 11
Views: 800

New Infrastructure Asset Class under amendments to regulation 2015/35 (Solvency II)

Willmoters,

Any thoughts on the mathematical treatment and the dimension of  credit risk of  Infrastructure assets? 
by Samsaveel
August 4th, 2016, 4:05 am
Forum: General Forum
Topic: (Sensible) Definition of a derivative conctract's notional amount
Replies: 4
Views: 729

Re: (Sensible) Definition of a derivative conctract's notional amount

The final draft text on FRTB "Minimum Capital requirements for market risk" dated January of this year sets out "Revised standards",see page (5) under executive summary, the word "Standard" can be in interpreted as "Acceptable but of less than top quality" .The process to get those internal models a...
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