Stock Quanto Levels

Watchman · April 27th, 2004, 12:48 pm

How do practitioners generally mark their single stock quanto levels? Index quantos, at least on the main index/fx pairings, are relatively liquid and have broker quotes aplenty, but so far as I am aware the same is not true for individual names.I could look at historic equity/fx correlations, or try and use the stock's beta in conjunction with the appropriate Index/Fx implied correlation from the index quanto quotes, but I'm not sure of the value of either approach.Any suggestions?

doublebarrier2000 · May 1st, 2004, 6:16 pm

All your suggestions are sensible. Generally I've seen all approaches, however, single stock (ss)/fx correls were obtained using historics in all the places I've worked. One could argue that the correl is probably = to zero anywaylet me know if you have any good ideas

daveangel · May 1st, 2004, 6:20 pm

QuoteOriginally posted by: doublebarrier2000All your suggestions are sensible. Generally I've seen all approaches, however, single stock (ss)/fx correls were obtained using historics in all the places I've worked. One could argue that the correl is probably = to zero anywaylet me know if you have any good ideaswouldnt that depend on the market ? i.e. in export driven economies stock/fx correlation would be higher than in others less dependent on exports ?