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    Treasury Bond Futures

    Hi, I have a few questions regarding Treasury Bond futures. I understand that every bond that is eligible for delivery into a Treasury futures contract has a conversion factor, where the conversion factor is the approximate price at which $1 par of a security would trade if it had a 6%...
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    Time Series Analysis

    Hi, I'm studying for the CFA Level 2 exam, and found many of your webinars very useful. The webinars regarding linear and multi-variate regression were very relevant and concise. I particularly liked the way you showed how to use Excel to perform various type of analysis. Could you also...
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    Negative Basis Trade

    Can you explain how the negative basis trade works? http://www.bloomberg.com/apps/news?pid=20601109&sid=aZjMcuIoat7U&refer=home By employing a so-called negative-basis trade, investors could buy Six Flags bonds at 20.5 cents on the dollar and credit- default swaps at 71 cents. If the New...
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    ‘Bogus’ Risk Models

    Interesting article on risk management models: http://www.bloomberg.com/apps/news?pid=newsarchive&sid=aW2ByfpGZflA Business schools should teach empirical analysis and drop risk-management models that failed to foresee the worst market declines since the Great Depression, according to...
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    CDS Implied Default Probability

    I read an interesting article on Bloomberg: "Credit-default sellers on Sept. 17 demanded as much as $2.1 million upfront and $513,000 a year to protect $10 million in Morgan Stanley bonds from default for five years. The price implied a 65 percent chance the company would go bust within five...
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    Sub-Additive

    Hi David, In one of your posts, you explain very nicely why VaR is NOT sub-additive. http://www.bionicturtle.com/learn/article/illustration_of_vars_failure_to_meet_coherence/ Although I understand why VaR is not sub-additive for non-elliptical loss distributions, I don't quite...
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    Fed Funds Vs. Discount Rates

    Hi David, Could you explain the relationship / differences between the Fed discount rate and the Fed Funds rate?
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    Constant Elasiticty of Variance

    Hull mentions the CEV model in chapter 24 of his book. Can you create a spreadsheet / screenshot explaining how to calculate option prices under the CEV model? How do you determine the appropriate CEV factor (alpha) for a particular equity?
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