I'm looking to compute for volatility of bonds in the following categories.1) by region2) by ratingAnyone have suggestions on bond indices that I can use? Are there any easily obtainable stuff from Bloomberg (no add'l subscription needed)?Thanks
<t>The problem with netting the legs before computing for VaR is that you assume the rates to go in the same direction at the same magnitude.This is not the case since rates used for both legs of your IRS are different despite being picked from the same curve.Taking basis risk and yield curve twists...
A nice rule that we should implement: "If it's illiquid, it should be banned from the trading books."Only problem with this rule is that liquidity characteristics change drastically during certain events.
<t>A job for a CFA/FRM, Finance, VBA profile (without C++ coding)?There are lots of jobs for it. You can look at risk analysts, risk managers, product controllers, etc. You can also look at smaller banks. Big probability that they are not doing their own C++ codes and use Excel / VBA or outsourced m...
<t>QuoteOriginally posted by: C3I2I might ad that I have friends that were forced to take mandatory Java-classes in uni where the engineering students some years earlier had C++. The theory there were Java=future C++=past "Sometimes a man can still meet his destiny on the road he took to avoid it. "...
<t>QuoteI liked Fermion's suggestion that if the market is illquid the fair value is zero - regardless of the model - however how you test for that in a practical sense might be quite tricky.But that doesn't mean you will not earn a single cent from the position. You still get cashflows which gives ...
Although they stated ethics as part of the program, there is no emphasis in the syllabus (not like CFA). We need more ethical hedge fund managers these days.
I think the principles are the same. They just try to limit the size and the holding period of actual positions.Liquidity risk is also something to look at as well.
<t>The problem with selling / transfering a trading system even if it really works are the following:1) Is the success really coming from the system? Most of the time it is the trader that is using the system is the one that is really profitable and not the system. When someone else uses it, then he...