Let's talk some econ/finance ****

[Aeson]

I often think "there but for the grace of God go I" when reading KH's posts.

[Elok]

I don't think "there but for the grace of God go I" about either side. I think "oh, somebody picked a fight with KH again. Okay. Wonder what I should have for lunch?"

[Dauphin]

I just like KH's fake arrogance. Gets people riled up.

[KrazyHorse]

Shhh. I'm enjoying myself.

[KrazyHorse]

I live in a risk neutral world. If you believe that the Canadian dollar will appreciate further relative to the native currency of the equities in question then you should express this view with "currency neutral" funds; otherwise not.

More to be said on this: replicating the returns of an asset in a numeraire other than its own is impossible without a liquid quanto market. I doubt one exists even for major US indices and the CAD. Even understanding this is a nontrivial issue in mathematical finance. I would be wary of such a complex strategy being sold to retail investors.

[Kuciwalker]

No one has any opinions on discounting liabilities?

[Drogue]

No one has any opinions on discounting liabilities?

Bit of a niche topic, I'd be a bit surprised if anyone did. I work in finance (sort of) and I wouldn't.

[KrazyHorse]

If I were marking the firm's obligations to market I would discount at either its bond spreads or its cds spreads (some subtlety in this choice) assuming the pension obligations are pari passu with senior unsecured debt. If I was attempting to measure the ability of the firm to meet these obligations I would use a less credit risky discounting like LIBOR or fed funds discounting.

[KrazyHorse]

Bit of a niche topic, I'd be a bit surprised if anyone did. I work in finance (sort of) and I wouldn't.

I have some expertise in the calculation of credit valuation adjustment so I have thought about this issue.

[BlackCat]

You haven't been on my ignore list in months, you twit. I put people on time outs, not permanent suspension.

I really don't give a damn if I'm on your ignore list or not, though I find it kind of amusing when you get one of your hissy fits and put me on ignore. Guess that it goes something like this :

[KrazyHorse]

Are you still following me around, twit?

[BlackCat]

Uhmn, may I suggest that you visit a shrink - you are obviously delusional and suffer of paranoia.

[MichaeltheGreat]

Nerds @ a Nerd Convention

Hey, Tex. So which one are you?

[Kuciwalker]

If I were marking the firm's obligations to market I would discount at either its bond spreads or its cds spreads (some subtlety in this choice) assuming the pension obligations are pari passu with senior unsecured debt. If I was attempting to measure the ability of the firm to meet these obligations I would use a less credit risky discounting like LIBOR or fed funds discounting.

See, the first seems wrong to me, because it would imply that identically pension plans would cost more for 'better' institutions which can borrow at lower rates.

[Ming]

Hey, Tex. So which one are you?

My GOD... a MtG sighting...