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Dear @ami44 Thanks for the above document. If I get it correctly, you have stated throughout this thread that the possibility of the Delivery Squeeze affects the CDS alone, reducing its value by reducing the spread. It has no effect on the Bond spread, however, this in itself depresses the...

Yes, I don't know what the exact mechanics of the market are, but a reading of Gregory seems to concur with your last point above, Gregory states that the possibility of a squeeze like how it reduces the CDS spread and thus its value, also reduces the Bond Spread because the scarcity of supply...

Thanks very much @Nicole Manley ! :) I would like the Amazon gift card please Thanks once again

Beautiful @ami44 , Thanks that cleared my confusion! So, what I get is that the CDS spread is not the same concept as Bond spreads, therefore, if I get it correctly, CDS spread is the premium paid by protection buyer to protection seller and since the protection buyer is willing to pay less of...

Hi @arkabose Gregory has been known to be dubious with the CDS-Bond basis. Look at his error with the Funding cost example, as you know, increase in the Funding cost of a Bond, increases the spread demanded by the Bond holders and hence the Bond spread rises, CDS being unfunded remains the...

Dear Nabil As you know, convexity of a Bond is the shape of the yield curve in response changes in interest rates or the degree of curvature of the Price/Yield curve, the price/yield or price rate relationship is not always linear as far as Bonds are concerned, therefore, x% increase in yield...

Looks like Traders are still building strategies in the wake of the Brexit, here is an interesting article from GARP on how the CDS trades have ballooned with the Risk averse seeking protection for UK company defaults if and when a mild recession occurs on UK leaving the EU. UK companies seem to...

The counterparty risk, the risk that the party opposite our netted transaction will default can be mitigated by collateralization. However, accepting collateral is a double edged sword as it does not mitigate all risks completely, it merely converts the counterparty risk into Funding Liquidity...

Hi there @Dr. Jayanthi Sankaran , in addition to your useful information above, here is what Aswath Damodaran has to say on the Brexit. http://aswathdamodaran.blogspot.in/2016/06/the-brexit-effect-looking-for-signals.html As always he takes a middle path to its effects on companies In addition...

Yes Brian, what you are saying is the general form of integration by parts, while I didn't try that form for the above, I found out that the following version would be more relevant for the above calculation on the RHS ∫u(x)v'(x) dx = u(x)*v(x) - ∫u'(x)*v(x) dx This would perfectly accommodate x...

Well there are two terms there @Dr. Jayanthi Sankaran , x and norm(x), I think it involves an integration by parts over there, your answer would hold good when sigma∫x dx = sigma*x^2/2 Anyway, thats why I have asked @David Harper CFA FRM to verify the veracity of my derivation

Thanks @brian.field would not have known about it if not for you. Got the seat by the skin of my teeth. Seems that there were 5,000 registrations and I was on the waitlist. Finally, they consented for me to attend the same.

Well Jayanthi, it was good, in that there were a lot of economic indicators discussed. There will be a video recording of the webinar sent to all the participants, I will send you the link once it becomes available

Hi there @Stuti , the earlier discussion pointed out by @Dr. Jayanthi Sankaran is highly instructive of what the formula really means and what would be tested in the exam. Your derivation would not be tested; However, if you are really interested in knowing what it really means, consider the...

Here is a short video from the WSJ on Asian companies and the Brexit http://www.wsj.com/video/how-brexit-affects-asian-investments-by-the-numbers/7EDAB731-CE24-4006-9C37-F5BD8AF9F144.html They forgot Tata Group, which owns Jaguar Land Rover as well as Tata Steel with its significant UK assets...

Lots of other interesting developments! It seems that there were some funds that shorted the Pound and went long on the Yen and invested in Japanese Govt. Bonds prior to this calamity. They seem to have earned a return in excess of 10.4%...

Good Show @Mkaim Congratulations! and wishing you the very best!

Congrats to all those who passed! Congrats @brian.field ! Good Show:)

Good luck @Kavita.bhangdia ! Wishing you the best!:)