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Showing posts from 2015

Expanding blog's scope

Over the last year, I have used this blog to discuss questions related to the multi-curve framework in a large sense. I have decided to expand the blog's scope to "quantitative finance" in general. This will be reflected in the forthcoming blogs related to the mandatory bilateral margining and in the medium term with the announcement of a new book. Stay tuned.

Treasury / Swap spreads are negative. And what?

In recent weeks there were several news articles related to the negative treasury/Swap spread. This is in particular the case of a Bloomberg article and a Zero Hedge blog . Some of the “information” in those notes are Swap rates are what companies, investors and traders pay to exchange fixed interest payments for floating ones. That rate falling below Treasury yields […]  is illogical in the eyes of most market observers, because it theoretically signals that traders view the credit of banks as superior to that of the U.S. government. It’s hard to overstate how illogical it is when swap spreads are inverted. That’s because it suggests that governments are less creditworthy than the very financial institutions they bailed out during the credit crisis just seven years ago. Let’s be clear, to me, those claims are purely wrong , nothing is “ illogical ” in negative swap spread. But why do I rant about that in the “multi-curve framework” blog? Because it is exactly the same that ...

Home library

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It had been my dream for many year now! A majestic library to store all my books. After a lot of design, planing and book carrying ... its here. More exactly it has been there for several months, but I had not reported on it. Two-storey, seven meters wide, five meter high, an embedded desk and a glass platform... I now have enough space to store all my books and the new one I'm buying. With a full shelve available to stored my multi-curve book (yet) unsold copies.   Two-storey Overview Glass platform Desk on the left

Commenting on the Fundamental Review of the Trading Book

In December 2014, the Basel Committee on Banking Supervision (BCBS) issued a consultative paper on outstanding issues for its fundamental review of the trading book capital standards . The paper indicated that the Committee welcomed comments on the proposal. Some of the subjects described in the consultative document are related to the multi-curve framework. I provided  comments to the BCBS on some of the issues described in the document. In this blog, I describe how some of those comments are related to the book content. The comments made to the consultative paper are in principle public. The comments may be published on the BIS website. Even if the deadline for the comments was Friday 20 February 2015, the pages related to the consultative document have not changed since and the comments made are not publicly available yet. The link to my comments can be found at the bottom of this blog. Don’t hesitate to comment of my comments! The main items in my comments are: Curves ...