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by Samsaveel
September 1st, 2014, 3:28 pm
Forum: Economics Forum
Topic: Argentina bonds and authority of courts
Replies: 4
Views: 5416

Argentina bonds and authority of courts

<t>it is a very complicated legal issue ,it should be clear if you have the terms of the issued bonds.to answer your question fully would require experts in International Investment law,Human rights Law and International public law.it all has to do with Collective action clauses ,do a Google search ...
by Samsaveel
July 25th, 2014, 2:46 am
Forum: General Forum
Topic: Validation of the square root of time rule for VaR
Replies: 0
Views: 3936

Validation of the square root of time rule for VaR

willmoters,are there any Regulatory requirements to validate the square root of time rule forscaling 1-day VaR to a 10-Day VaR ?what is best practice at Large banks regarding reporting the 10-day VaR ?
by Samsaveel
July 12th, 2014, 2:04 am
Forum: Student Forum
Topic: Swap Fixing or Reset Risk
Replies: 9
Views: 5305

Swap Fixing or Reset Risk

the distance is the delta between estimated 3 ML and Actual 3m L fixing .
by Samsaveel
July 10th, 2014, 2:44 am
Forum: Student Forum
Topic: Swap Fixing or Reset Risk
Replies: 9
Views: 5305

Swap Fixing or Reset Risk

yep ,it came across few times in the past,it's some form of sanity check on the underlying YC Model.
by Samsaveel
July 7th, 2014, 3:51 am
Forum: Student Forum
Topic: Swap Fixing or Reset Risk
Replies: 9
Views: 5305

Swap Fixing or Reset Risk

isn't reset risk also the distance between the Actual Market 3mL fixing ,and the 3m L estimated by Curve Model ?
by Samsaveel
May 31st, 2014, 3:01 am
Forum: Programming and Software Forum
Topic: Simulation
Replies: 1
Views: 4435

Simulation

MatLaber's;I am doing a simulation of an exchange rate.the dimensions are NSim *NtimeSreps(daily)[1000,250].I plot the forward path,and I am looking to superimpose a histogram of the rate at following time steps[50,100,150,200,250]---->>>> anyone has experience of doing that ?
by Samsaveel
May 21st, 2014, 1:45 am
Forum: General Forum
Topic: Exposure profile PFE for 1st generation Fx Exotics
Replies: 7
Views: 5878

Exposure profile PFE for 1st generation Fx Exotics

what is the counter-party credit exposure on a vanilla target Redemption Forward with a cap from a sellers point of view ?
by Samsaveel
May 15th, 2014, 3:23 am
Forum: General Forum
Topic: Exposure profile PFE for 1st generation Fx Exotics
Replies: 7
Views: 5878

Exposure profile PFE for 1st generation Fx Exotics

how does that fit in computing the EPE at each exposure date ? do you algebraically add the EPE + analytic exposure to get total EPE ?
by Samsaveel
May 14th, 2014, 3:53 pm
Forum: General Forum
Topic: Exposure profile PFE for 1st generation Fx Exotics
Replies: 7
Views: 5878

Exposure profile PFE for 1st generation Fx Exotics

can you aggregate PFE simulated with a PFE MtM + add for a counterparty ?
by Samsaveel
May 4th, 2014, 12:45 pm
Forum: General Forum
Topic: Exposure profile PFE for 1st generation Fx Exotics
Replies: 7
Views: 5878

Exposure profile PFE for 1st generation Fx Exotics

Hi,any leads (articles ,Books ) on implementing Credit simulations,PFE ,CVA for Fx exotics methodology ,and reporting choice ?it seems there is nothing on the net specifically targeted towards FX exotics!how to get the PFE profile for Binary,Touch and digital Fx options ?thanks,
by Samsaveel
April 22nd, 2014, 3:24 pm
Forum: General Forum
Topic: determining the future value of a put option
Replies: 14
Views: 5655

determining the future value of a put option

the fact of the matter is that the task your are faced with is over your head.you are simply not making sense (MC,Market views,2012,end 2013 MC ,etc.....)what is your question in 6 words ,simples!
by Samsaveel
April 22nd, 2014, 1:37 am
Forum: General Forum
Topic: Basis Trades
Replies: 4
Views: 4859

Basis Trades

<t>uncollateralized ,use same curve for forward rate projection and discounting> consistency.< I don't get how doing pnl analysis helps answer this> well if you value the swap on the basis curve ,you will have a smoothed PL ,because you are capturing the basis in the marketvs . valuation under the o...
by Samsaveel
April 21st, 2014, 12:49 pm
Forum: General Forum
Topic: Basis Trades
Replies: 4
Views: 4859

Basis Trades

perform a PL impact analysis value the swap off the standard 3m-Libor curve,and then build your 1m libor curve off of your 3 mL - (1m vs 3m) basis swap spreads.and see what you get
by Samsaveel
April 19th, 2014, 1:11 pm
Forum: Student Forum
Topic: Counterparty exposure calculation
Replies: 4
Views: 4720

Counterparty exposure calculation

it is in a way similar to the concept of wrong way risk ,the more the trade is ITM from your perspectivethe higher the probability that the Cpty wll not be able to meet the contractual agreement at expiry,and so the likelihood that they default rises.
by Samsaveel
April 19th, 2014, 1:03 pm
Forum: General Forum
Topic: determining the future value of a put option
Replies: 14
Views: 5655

determining the future value of a put option

<t>calibrate drift and volatility based on 2012 market data,your using historical data so you are operating in the real world measure.do your simulation ,and project forward the underlying FTSE trajectory 1-year forward from 2013 start to 2013 end ,which means you are onlygenerating one Gaussian dev...
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