Search results

Of course they didn't... 'Cause guess what was going through their heads? It wasn't the gaussian copula and its flaws. What I'd like to understand is at which point in the whole toxic CDO chain you absolve the actual decision-makers of the responsibility for their decisions and start...

You misread my comment. It's not your choice. By 'you' I was referring to the risk manager/trader that chooses to believe blindly in numbers that are given to him by whatever system he uses. The point that you keep making is misguided. All you're saying is that if everyone simultaneously...

They're not the only ones going for this... It's not that shocking, really. Moreover, their use of the Japan is wrong, in my view. If anything, Japan is an example of how the scenario they describe can fail to materialize.

As per your request: you're crazy... Just sell the index outright. That satisfies your requirements just fine.

You're just being silly again, pedro... You can't abdicate responsibility for your decisions by saying that you relied on some smart guy's opinion. Personally, my risk is everywhere and always my personal responsibility, nobody else's. [B] A model is a model. It never promises to be a...

That's pretty silly... How is it that the quants are to blame for all these things that you list? That's like blaming Einstein for Hiroshima or Karl Marx for the October Revolution...

Draw a graph of implied vol of options vs their strike/moneyness/delta. Simplistically, trading the skew involves expressing a view on the shape of the graph.

Nice, bone... This is pretty deep stuff right here!

Well, I don't know... I don't claim to be any sort of expert, but wouldn't it have been useful if the mtge mkt were a wee bit more regulated and some of the more tasty negative amortization ARMs didn't come into existence?

Maybe the mkt in the underlying stock is very wide...

Nooooo! Say it ain't so!!! The "interbanks", owned by the FED!!!! Who woulda thunk it? And then everybody "would leave the forex market"? NOOOOOOOO!!!!!!! Surely, someone will stick around? We can't have the forex mkt all empty-like! :)

Hmmmm, wasn't this sorta reasoning behind the deregulation of the banking industry? I am sorta with Ivan here... Isn't "leverage is bad" supposed to be the main lesson that came out of the crisis? Or is there such a thing as "good" leverage (retail FX) and "bad" leverage (banks, housing...

Central banks have always talked about the undesirability of excessive swings in exchange rates. They'll continue to do so going fwd. Trichet mentions exchange rate volatility almost every single time he opens his mouth. This has nothing whatsoever to do with the concept of leverage and...

Completely agree with smalls here...

More of the latter, especially this year...

Tell me about it, Prof... Mean reversion would be welcome here, but we're going into December, so I am not too hopeful, to be honest.

There you go, I did it for you... I visualized weak retail sales in Switzerland, et voila!

BBG DV01 is just a shortcut, really... It's often wrong, but not by much, which means it only matters in a few cases where size does matter. In reality, I use a DV01 that revalues the whole basket to take into account the probability of a CTD switch. Moreover, it would depend on whether...

Of course there are options... The mkt is, generally very liquid for pretty much all pairs, but it's mostly OTC. What may be available to you (such as FX futures options) can vary, depending on your broker.

Wait, visualize it going a little bit lower first, to give me a good entry level... Then we'll all visualize the SNB together.