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by Samsaveel
April 3rd, 2015, 3:54 am
Forum: Technical Forum
Topic: Does the Solvency II correlation matrix (or any other correlation matrix) imply Pearsn's rho and hence normality?
Replies: 6
Views: 3943

Does the Solvency II correlation matrix (or any other correlation matrix) imply Pearsn's rho and hence normality?

linear correlation is very confusing !it is used everywhere in finance , it only makes sense if the underlying RV ( Bivariate , Multivariate)are normal,or more generallycome from the elliptical world ,send me a pm ,will dig up a good paper that goes into details.
by Samsaveel
April 2nd, 2015, 2:44 pm
Forum: Technical Forum
Topic: Capturing skew risk in IV swaption surface in VaR Framework
Replies: 11
Views: 5109

Capturing skew risk in IV swaption surface in VaR Framework

thanks Martingoul.a position in a swaption 10y10y starting sometime in the past,is the 10 y par swap rate used for fair valuation purposes daily ?
by Samsaveel
March 31st, 2015, 12:45 pm
Forum: Technical Forum
Topic: Capturing skew risk in IV swaption surface in VaR Framework
Replies: 11
Views: 5109

Capturing skew risk in IV swaption surface in VaR Framework

yeah.... no idea about the question,i guess it is relatively ill posed from a content perspective :) what is industry practice to determine non ATM swaption vols ,how to link the smile shape in caplet data to swaption vols all of this is in the context of HS VaR ?
by Samsaveel
March 30th, 2015, 3:38 pm
Forum: Technical Forum
Topic: Capturing skew risk in IV swaption surface in VaR Framework
Replies: 11
Views: 5109

Capturing skew risk in IV swaption surface in VaR Framework

Guy'sany input on this from ,**EXPERIENCE**,articles,papers ,etc..... Thanks,
by Samsaveel
February 18th, 2015, 3:48 pm
Forum: Book And Research Paper Forum
Topic: New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory
Replies: 10
Views: 45747

New Book - Counterparty Credit Risk: The new challenge for global financial markets by Jon Gregory

<r>it is an excellent read on credit risk,if you are sitting in an FO environment coding up simulation models to quantifyCCP risk for TB ,then have a look at "Modelling, Pricing, and Hedging Counterparty risk "by Giovanni Cesari,it is more mathematically rigorous.on the other hand if you are a quant...
by Samsaveel
January 20th, 2015, 4:01 am
Forum: Student Forum
Topic: Value At Risk on a bond portfolio
Replies: 14
Views: 39093

Value At Risk on a bond portfolio

<t>you are not saying why you want to compute VaR for a bond portfolio ?are these Bonds in your trading book ?As mentioned in previous posts ,depending on your answer to the above questions ,you problem might be more complex !HS VaR will suffice IFF to cover the risks that fall within the VaR parame...
by Samsaveel
January 8th, 2015, 4:27 am
Forum: Economics Forum
Topic: Emerging Markets
Replies: 2
Views: 12526

Emerging Markets

<t>QuoteOriginally posted by: GoldFatherIn the waning days of the year 2014 we have begun to consider the impact of emerging financial markets on commodities. I always follow the price of gold, and have learned what influences its price. I have been reading so much about how the increased demand for...
by Samsaveel
January 5th, 2015, 4:40 am
Forum: General Forum
Topic: Did Subprime Loans Cause The Housing Crisis?
Replies: 29
Views: 6073

Did Subprime Loans Cause The Housing Crisis?

A good read on all of this is an investigation into the causes of the financial crisis by Senator Carl Levinit's freely available on the web "WALL STREET AND THE FINANCIAL CRISIS:Anatomy of a Financial Collapse"
by Samsaveel
January 2nd, 2015, 7:01 am
Forum: Student Forum
Topic: Mean Reversion for USD rates
Replies: 10
Views: 4967

Mean Reversion for USD rates

<t>to be honest,mean reversion does not make any sense in the current rates environment !global interest rates are impacted by deterministic process that overshadow their stochastic nature. i.e central banks liquidity injections , ZIRP, market complacency and subdued volatility are all factors to ta...
by Samsaveel
December 17th, 2014, 5:00 am
Forum: General Forum
Topic: How to price a defaulted corporate bond
Replies: 14
Views: 4994

How to price a defaulted corporate bond

There is no mathematical models ,or some stochastic process that will give you the answer you are looking or if the bond defaulted then everything is in the realm of Solvency law and Investment law.
by Samsaveel
October 15th, 2014, 4:21 am
Forum: Technical Forum
Topic: Historical VaR for Bonds
Replies: 6
Views: 4346

Historical VaR for Bonds

<t>you have 2 methods when computing perturbations to create hypothetical scenarios for Historical Simulation.for Interest rates the underlying model is the classic random walk.for example ,the n-th sample (hypothetical tomorrow ) is given by the following Xn = Xmtm + ( Xn -Xn-1 ), where Xmtm is the...
by Samsaveel
September 11th, 2014, 3:21 pm
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 7154

Time Horizont for measuring market Risk

<t>QuoteOriginally posted by: DavidJN"how do you define antithetic scenarios ?"Say you have N observations of historical price changes.Extend the vector by multiplying each one of those changes by -1.Now you have 2*N observations.The same tactic is often used in Monte Carlo simulation - you draw you...
by Samsaveel
September 11th, 2014, 1:02 pm
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 7154

Time Horizont for measuring market Risk

how do you define antithetic scenarios ?
by Samsaveel
September 10th, 2014, 11:39 am
Forum: General Forum
Topic: Time Horizont for measuring market Risk
Replies: 27
Views: 7154

Time Horizont for measuring market Risk

<t>Basel recommends a historical time period of minimum 250 trading day's.your VaR metric computed with the following parameters-for general MR management : 1-day @ 95% quantile-for Trading Book Capital : 10-day @ 99% quantile.industry practice to apply square root of time rule to scale VaR in time ...