Recent content by cchien

  1. cchien

    Long Term FX SWAP

    thanks financeguy response. The method you said is Interest rate parity ( Theory Foreign Forward Rate). I know that. But, the question is whether I use the same method for long-term ( > 1 yr) or short-term ( < 1yr) in pricing MTM ? Now, I use different method to price MTM. In short term, I use...
  2. cchien

    Career Path for Quant in Risk Modeling?

    Dear Ryan, it's interesting me at content of your work. I'm also a risk analyst for investment (MBS/Callable Bond/ Structured Notes/ Equity/Interest rate Derivatives...) from life insurance. I would like know how yours analysis or quantify risk in HF by quantitative method ? In my work, I'm...
  3. cchien

    What phone do you have?

    Blackberry Bold 9700.....
  4. cchien

    Long Term FX SWAP

    Hi financeguy, Currency pair is USD/TWD.
  5. cchien

    Long Term FX SWAP

    Hi QuantNet user, I'm working for life insurance co being risk engineer in risk management. Now, I meet a pricing problem about FX SWAP, over 1 years. It needs your guys's help or give me any good solution if possible. In most case, FX SWAP usually is within one years, so we can observe quotes...
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