By Philippe Cahen
I do not like booklet translations, so i purchased this booklet at Amazon.France, french language. I't an excellent better half to John Bollinger booklet. This paintings good points attention-grabbing visible strategy, with stories of slopes and shapes of bollinger bands.
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The results are plotted two ways, using only investmentgrade credit, or including high-yield securities as well. The estimated coefficients are all highly significant, with t-statistics ranging between 15 and 30 for both systematic and idiosyncratic spread volatility. Not surprisingly, P1: TIX/b P2: c/d JWBT571-c01 QC: e/f T1: g JWBT571-Dynkin October 14, 2011 12:53 Printer: Courier Westford 19 Measuring Spread Sensitivity of Corporate Bonds Spread Slope Estimates 25% Systematic volatility - IG Systematic volatility - IG+HY Idiosyncratic volatility - IG Idiosyncratic volatility - IG+HY 20% 15% 10% 5% 19 90 19 91 19 92 19 93 19 94 19 95 19 96 19 97 19 98 19 99 20 00 20 01 20 02 20 03 20 04 0% A.
4% if we exclude the three circled outliers. Hence, the results suggest that the historical volatility of systematic spread movements can be expressed quite compactly, with only minor dependence on sector or maturity, in terms of a relative spread change volatility of about 9% per month. 5 bps/month, while that of a market segment at 200 bps should be about 18 bps/month. Idiosyncratic Spread Volatility To study the spread dependence of idiosyncratic spread volatility, we employ the same partition we used for the study of systematic spread volatility.
We then calculate the weighted excess return and DTS for each quintile (separately by seniority class). 17 Excess Return Volatility versus DTS across Seniority Classes Note: The SENIOR and SUBORD portfolios are divided into DTS quintiles and the weighted excess return and DTS is computed (separately by seniority class). The plot presents the time series volatility of excess returns and the average DTS of the 10 aggregate portfolios composed of senior notes and notes or senior debentures and debentures.
Dynamic Technical Analysis by Philippe Cahen