Bund, Tbond e la matrixiana allo yen vm18
- Creatore Discussione gipa69
- Data di Inizio
quicksilver
Forumer storico
gipa69 ha scritto:
occhio che anche oggi però chiudono prima, ore 19:15 ora nostra
http://trader.iwbank.it/common/templates/pop.jhtml?TYPE=content&SRC=apertura_mercati.jhtml
gipa69
collegio dei patafisici
Fenomeno interessante su cambi che riporto:
La forte debolezza del dollaro delle ultime sedute non ha le solite caratteristiche degli ultimi mesi:
1)Il differenziale dei tassi che è diventato un buon proxy strategico per seguire l'andamento dei cross (soprattutto quelli principali) sembra perdere il suo effetto predittivo:
2)le rotture tecniche avvenute su alcuni cambi non giustificano una debacle globale del biglietto verde così come i dati fondamentali.
3)Non si tratta di fenomeni di riduzione al rischio perchè sebbene l'USD/YEN e l'USD/CHF siano scesi le valute più rischiose si sono mantanute brillanti.
Gli operatori parlano di intervento da parte del nuovo fondo gestione Cinese creato per poter diversificare sui mercati finanziari.
Vedremo se questo porterà il dollaro su nuovi minimi multiannuali.
La forte debolezza del dollaro delle ultime sedute non ha le solite caratteristiche degli ultimi mesi:
1)Il differenziale dei tassi che è diventato un buon proxy strategico per seguire l'andamento dei cross (soprattutto quelli principali) sembra perdere il suo effetto predittivo:
2)le rotture tecniche avvenute su alcuni cambi non giustificano una debacle globale del biglietto verde così come i dati fondamentali.
3)Non si tratta di fenomeni di riduzione al rischio perchè sebbene l'USD/YEN e l'USD/CHF siano scesi le valute più rischiose si sono mantanute brillanti.
Gli operatori parlano di intervento da parte del nuovo fondo gestione Cinese creato per poter diversificare sui mercati finanziari.
Vedremo se questo porterà il dollaro su nuovi minimi multiannuali.
f4f
翠鸟科
A deeper understanding of the risks taken by LTCM
The profits from LTCM's trading strategies were generally not correlated with each other and thus normally LTCM's highly leveraged portfolio benefited from diversification. However, the general flight to liquidity in the late summer of 1998 led to a marketwide repricing of all risk leading these positions to all move in the same direction. As the correlation of LTCM's positions increased, the diversified aspect of LTCM's portfolio vanished and large losses to its equity value occurred. Thus the primary lesson of 1998 and the collapse of LTCM for Value at Risk (VaR) users is not a liquidity one, but more fundamentally that the underlying Covariance matrix used in VaR analysis is not static but changes over time.
Also, if the fund had been less leveraged, it would have weathered the spike in volatility and credit risk: In the end, the idea of LTCM's directional bets was correct, in that the values of government bonds did eventually converge. Due to the high leverage, however, this only happened after the firm's assets were wiped out. Thus, the incident confirms an insight often (though perhaps apocryphally) attributed to the economist John Maynard Keynes, who is said to have warned investors that although markets do tend toward rational positions in the long run, "the market can stay irrational longer than you can stay solvent."
Some, like Nassim Taleb have compared many of LTCM's strategies to "picking up pennies in front of a steamroller"[3] — a likely small gain balanced against a small chance of a large loss, like the payouts from selling an out-of-the-money option. These strategies would have operated as sort of a reverse St. Petersburg lottery. It should be noted that even in the particular conditions which resulted in the fund's downfall, these large losses would not, if the positions were held to maturity, have come to pass. However, the events of 1998 increased the perceived probability of large losses, to the point where LTCM's portfolio had negative value.
The profits from LTCM's trading strategies were generally not correlated with each other and thus normally LTCM's highly leveraged portfolio benefited from diversification. However, the general flight to liquidity in the late summer of 1998 led to a marketwide repricing of all risk leading these positions to all move in the same direction. As the correlation of LTCM's positions increased, the diversified aspect of LTCM's portfolio vanished and large losses to its equity value occurred. Thus the primary lesson of 1998 and the collapse of LTCM for Value at Risk (VaR) users is not a liquidity one, but more fundamentally that the underlying Covariance matrix used in VaR analysis is not static but changes over time.
Also, if the fund had been less leveraged, it would have weathered the spike in volatility and credit risk: In the end, the idea of LTCM's directional bets was correct, in that the values of government bonds did eventually converge. Due to the high leverage, however, this only happened after the firm's assets were wiped out. Thus, the incident confirms an insight often (though perhaps apocryphally) attributed to the economist John Maynard Keynes, who is said to have warned investors that although markets do tend toward rational positions in the long run, "the market can stay irrational longer than you can stay solvent."
Some, like Nassim Taleb have compared many of LTCM's strategies to "picking up pennies in front of a steamroller"[3] — a likely small gain balanced against a small chance of a large loss, like the payouts from selling an out-of-the-money option. These strategies would have operated as sort of a reverse St. Petersburg lottery. It should be noted that even in the particular conditions which resulted in the fund's downfall, these large losses would not, if the positions were held to maturity, have come to pass. However, the events of 1998 increased the perceived probability of large losses, to the point where LTCM's portfolio had negative value.
f4f
翠鸟科
Plunge Protection Team
Founded in 1988 after the 1987 stock market crash, it theoretically ensures the stability of the financial markets, prevents liquidity problems, and ensures that stock market hiccups do not cause bank runs. Some Wall Street bears believe that it buys stock index futures or uses other methods to help keep the American stock markets afloat.
Upon that suspicion, Plunge Protection Team or PPT for short, has become a catch phrase among those who warn about the danger of monetary inflation being used as a tool to more or less directly support stock market prices.[citation needed]
The term, Plunge Protection Team, has also been used to include high ranking private bank officials. Private bank risks have increased with growth in the use of derivatives. Trying to prevent a sudden drop in stock prices might be a way to alleviate some of those risks without cutting back on the derivative contract sales that certain banks make a large percentage of income from. So they, especially those banks associated with the Counterparty Risk Management Policy Group of 1999 and the more recent CRMPG II, have also been suspected of conspiring as part of a broader PPT.
Founded in 1988 after the 1987 stock market crash, it theoretically ensures the stability of the financial markets, prevents liquidity problems, and ensures that stock market hiccups do not cause bank runs. Some Wall Street bears believe that it buys stock index futures or uses other methods to help keep the American stock markets afloat.
Upon that suspicion, Plunge Protection Team or PPT for short, has become a catch phrase among those who warn about the danger of monetary inflation being used as a tool to more or less directly support stock market prices.[citation needed]
The term, Plunge Protection Team, has also been used to include high ranking private bank officials. Private bank risks have increased with growth in the use of derivatives. Trying to prevent a sudden drop in stock prices might be a way to alleviate some of those risks without cutting back on the derivative contract sales that certain banks make a large percentage of income from. So they, especially those banks associated with the Counterparty Risk Management Policy Group of 1999 and the more recent CRMPG II, have also been suspected of conspiring as part of a broader PPT.
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