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Agree... The issue of cp risk is a complex one. It's very true that, in the period leading up to the crisis, banks and institutions increasingly began to treat liquidity and counterparty risk as an afterthought. After all, what can possibly go wrong with a AAA-rated counterparty like AIG...

Again, I disagree... 1. Just saying "too big to fail = bad" is not prescriptive, very vague and hardly original. Everyone and their mother has been saying that and some, like NNT, were saying that before the crisis. The devil's in the details. How do you define "too big"? How do you...

I do trade the bund, but I really don't know a good calendar available for free that has the Ger/Fra/Ita etc auctions. Ultimately, the Finanzagentur, Tresor and others do publish auction calendars, so you can try to compile your own (although quite a few issues are syndicated, so you need to be...

Here you go: http://www.wilmott.com/messageview.cfm?catid=38&threadid=68640 This is specific to rates, but should be extendable to any asset class, really... It's a rich subject and the world of rates is full of all of sorts of interesting things you can do about fwd vol (simply because...

Yep, filthy's book is probably the best practical guide to vol trading/forecasting out there... Otherwise, if you look for GARCH, it's probably the most well-known classical approach.

Well, then bund will do fine for you, in terms of liquidity and "trend", although I am not entirely sure how you define the latter term.

What about your familiarity with the fundamentals of the market? Is that a criterion? What do you know about interest rates, bonds and economics?

Someone has to hand the money over to Andy Hall and others like him... USO investors are very generous people and have taken it upon themselves to do their bit to recapitalize Citi and other banks. I am not being entirely facetious either...

OT, I thought you were done with this thread? Why do you keep beating this dead horse?

All from selling crack to investors, perhaps?

My favorite is about selling gamma being equivalent to picking up pennies in front of an on-coming bulldozer... It's old, tired and oft disputed. Still, once you've been under the machine, you know just how true the statement actually is.

You're extrapolating wildly... The FDIC Deposit Insurance Fund (DIF) has been collecting fees (which, btw, have been increasing), which means the fund's assets grow, as well as shrink from having to pay for bank closures. This completely invalidates your cost = 75% of deposit gap...

Wait a sec, but that's exactly the charge that NNT levels at the academics? Are you now accusing him of doing the exact thing that is so anathema to him? dtrader, Swan Noir: as far as I can tell you're saying the same thing. Point is that wherever the current models' problems exist...

You sorta lost me me at hello there, Mr Bugatti... You've exhausted the benefit of doubt by being so monumentally defensive. I have absolutely no idea what you said or did not say before. So here's what I say to you: 1) Profitability on paper is a condition that is necessary, but not...

Sorry, jason, I just realized that I can't do basic arithmetic... Simplistically, it's just 1.4% * 10mil = $140k, rather than 14k. DUH! It's still low, obviously. These CDS contracts are USD-denominated, so they settle in cold, not-so-hard American dollars. Still, I like makloda's...

Well, that's what excess liquidity, mis-pricing of risk and all of these pre-credit crunch bad things are all about... Still, while it will depend on the bond maturity, $3000 figure looks too low. From what I can see (attached chart is 5Y UKR Sov CDS). it was more like $14,000

I am not necessarily a skeptic where you are concerned, Mr Bugatti (I am willing to give you the benefit of the doubt). However, I have to tell you that you're being plain silly. Firstly, it's a paper trade. It's a well-known fact that paper trading performance is not an accurate predictor...

Well, for Eurodollars (and other STIRs), 1 tick = 1 bp, which implies DV01 = Contract Notn'l/4/10000 ('cause it's 3M LIBOR). For bond futures, the simple way is a basic duration calculation, given yield etc. The attached doc from Eurex might help you (start with slide 7). For all I...

Well, ultimately an "appropriate hedge ratio" would depend on what it is that you're trying to hedge. Most people trading these spreads seek to have a position that is neutral in terms of outright exposure to rates. In that case, hedge ratio is determined by the DV01 of each contract. My...

You're right... Apologize for not paying attention to the question "spec".