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by Samsaveel
November 25th, 2013, 1:51 pm
Forum: Numerical Methods Forum
Topic: Intro to Copula
Replies: 25
Views: 32430

Intro to Copula

<t>QuoteOriginally posted by: mjQuoteFor five years, Li's formula, known as a Gaussian copula function, looked like an unambiguously positive breakthrough, a piece of financial technology that allowed hugely complex risks to be modeled with more ease and accuracy than ever beforeHardly any quants ev...
by Samsaveel
November 7th, 2013, 4:11 am
Forum: Technical Forum
Topic: Limit on swap curve shifts
Replies: 5
Views: 6787

Limit on swap curve shifts

what is the Economic justification of Bumping a curve by 30% ?
by Samsaveel
November 6th, 2013, 4:24 am
Forum: General Forum
Topic: PFE and Collateral
Replies: 2
Views: 6574

PFE and Collateral

a dynamic model to project the value of the collateral is also required ?,is correlation between the underlying derivative and collateral taken into account in the modelling framework ?
by Samsaveel
November 5th, 2013, 4:29 am
Forum: General Forum
Topic: PFE and Collateral
Replies: 2
Views: 6574

PFE and Collateral

is it accurate to set the initial collateral to be equal to the PFE of a derivative ?if not ,what are the disadvantages of such setting ?
by Samsaveel
October 18th, 2013, 3:23 am
Forum: General Forum
Topic: Funding Curve for a sovereign with Ba2 Rating
Replies: 10
Views: 6732

Funding Curve for a sovereign with Ba2 Rating

Quote You may want to look into articles describing the evolution of the arrangements between the banks and the European sovereigns.any recommendation about specific articles ?
by Samsaveel
October 17th, 2013, 12:07 pm
Forum: General Forum
Topic: Funding Curve for a sovereign with Ba2 Rating
Replies: 10
Views: 6732

Funding Curve for a sovereign with Ba2 Rating

<t>there are no confidentiality issues ,as the whole set up is for personal consumption.i agree with what you are saying regarding whether it is a collateralized trade or not.but as a starting point,assuming no collateral ,which methodology would be appropriate for projecting and discounting the cas...
by Samsaveel
October 17th, 2013, 9:39 am
Forum: General Forum
Topic: Funding Curve for a sovereign with Ba2 Rating
Replies: 10
Views: 6732

Funding Curve for a sovereign with Ba2 Rating

<t>QuoteOriginally posted by: MartinghoulAre these swaps collateralized and, if so, what are the terms of the CSA?the swaps have not been transacted yet,they are still in the research phase,the sovereign is looking to usederivatives to manage it's public debt ,and vary their funding sources.they do ...
by Samsaveel
October 17th, 2013, 9:35 am
Forum: General Forum
Topic: Funding Curve for a sovereign with Ba2 Rating
Replies: 10
Views: 6732

Funding Curve for a sovereign with Ba2 Rating

<t>QuoteOriginally posted by: bearishWow -- doing off-market swaps to fund sovereign budget deficits -- there is a throwback to the 90's! I think the handful of basis points spread between the US treasury and swap curves should be the least of your problems. And I don't think the local currency fund...
by Samsaveel
October 17th, 2013, 4:06 am
Forum: General Forum
Topic: Funding Curve for a sovereign with Ba2 Rating
Replies: 10
Views: 6732

Funding Curve for a sovereign with Ba2 Rating

<t>wilmotters,a sovereign with a dollar pegged exchange rate regime,has a funding curveout to 5 years.based on issued local treasury bills and notes(local CCy ).they are looking to transact off-market swaps with large notionals to fund theirbudget deficit,they are looking for long term vanilla swaps...
by Samsaveel
October 17th, 2013, 3:52 am
Forum: General Forum
Topic: Regulatory Capital for private equity deals
Replies: 2
Views: 12884

Regulatory Capital for private equity deals

Broadly speaking ,all the above !
by Samsaveel
September 14th, 2013, 12:15 pm
Forum: General Forum
Topic: Gamma...
Replies: 9
Views: 7770

Gamma...

anyone else out there who can shed some positive light and constructive dialogue regardingthe above quoted statement ?
by Samsaveel
September 12th, 2013, 4:55 pm
Forum: General Forum
Topic: Gamma...
Replies: 9
Views: 7770

Gamma...

648 views ,and no material answer !
by Samsaveel
September 2nd, 2013, 4:36 pm
Forum: General Forum
Topic: Gamma...
Replies: 9
Views: 7770

Gamma...

QuoteOriginally posted by: daveangelI am pretty sure the whole market is long duration - the Treasury is short duration.how does gamma play out ?
by Samsaveel
August 30th, 2013, 7:24 am
Forum: General Forum
Topic: Gamma...
Replies: 9
Views: 7770

Gamma...

<t>Willmoters/Traders,read in an article the following:"The Fed is the largest buyer of duration and convexity,and long an option to taper(Long Gamma).the other players in the market are short gamma,in order to hedge this short gamma position they sell duration and buy volatility"...in simple terms ...
by Samsaveel
August 13th, 2013, 1:03 pm
Forum: General Forum
Topic: Front Office versus Risk Curves
Replies: 7
Views: 7282

Front Office versus Risk Curves

FO provides the curves and the economic justification proposed,curve validation and model sign off is a Risk prerogative.
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