Hellenic Republic Public Debt Bulletin goo.gl/iteCP
— Alea (@Alea_) May 22, 2012
Pricing and Integration of the CDX Tranches in the Financial Market
This paper investigates whether the CDX tranche market offers risk compensation comparable to those offered by the S&P 500 index option market and the stock market.
China’s Negative Carry
Currency manipulation doesn’t come cheap. Net of income on dollar and other foreign assets, the cost works out to about $170 to $200 bln.
(figures in bln RMB)
"…the move toward monetary union amounts to hobbling state power at the national level without increasing it anywhere else in the system, and the dependable result is likely to be increased instability."
Best Guess on JPM’s Hedging “Stress Loss from Credit”
Most likely seller of protection on various maturities of the CDX.NA.IG Series 9 Version 4 against buying protection on various maturities of the CDX.NA.HY Series 10.
Would be consistent with what was said during the Q1 2012 Results - Earnings Call re: “stress loss from credit”
Hedging excess deposits would also require some kind of receiver position in IR swaps.
See also “Inside JPMorgan’s $2 billion loss-making CIO division”
bizarro repayment of €11 bln LTRO money explained goo.gl/f7QdF
— Alea (@Alea_) May 11, 2012
FBO people that believe JPM invented VaR ==>History of Value-at-Risk: 1922-1998 goo.gl/BBTNB
— Alea (@Alea_) May 11, 2012
