【信貸危機】Saba Capital Management創辦人溫斯坦：私募信貸基金失控在即 瑞銀預估違約率或達15％ 各方對私募信貸的示警紛至沓來。Saba資產管理創辦人溫斯坦（Boaz Weinstein）指出，Blue Owl Capital旗下基金相關的動盪正暴露出這個1.8萬億美元行業中更深層的破口。

和Quant Alex @StochAlex07 讨论： SABR Theta与Spot Theta+Vol Theta+Cross Theta的异同与应用，以及SABR模型自洽性分析。 **English Summary of the Chat** **SABR Theta vs Spot Theta + Vol Theta + Cross Theta** The conversation between **Alex Wu** (white bubbles) and **Jeff Liang** (green bubbles) is a technical discussion focused on **SABR Theta versus Total Theta** (i.e., Spot Theta + Cross Theta + Vol Theta), model self-consistency, PDE residual, and the correct definition of SABR Greeks. ### Key Points Discussed: 1. **SABR Gamma = Spot Gamma** (first major question, raised by Jeff) Jeff asked whether SABR Gamma (\(\partial^2 P / \partial F^2\)) is identical to Spot Gamma and whether it includes the dependence of \(\sigma_B\) on \(F\). He also provided the full chain-rule expansion of SABR Gamma in terms of Black-76 Greeks. Alex confirmed the understanding and **later affirmed in code** that this is exactly how SABR Gamma is implemented in their system. 2. **SABR Theta vs Total Theta and Model Self-Consistency** (main topic, led by Jeff) Jeff shared a clear 3-point understanding: - SABR Theta is computed directly via the SABR approximation formula to obtain \(\sigma_B\), then applying the Black-76 chain rule: \(\partial P/\partial t =\) BS_Theta(\(\sigma_B\)) + BS_Vega \(\cdot \partial\sigma_B/\partial t\). - Total Theta is the exact decomposition from the SABR PDE (Spot Theta + Cross Theta + Vol Theta). - When the model is **fully self-consistent** (Residual = \(\partial P/\partial t + \mathcal{L}P = 0\)), SABR Theta = Total Theta; otherwise the difference is the unexplained PnL caused by the approximation error in the Hagan formula (especially pronounced in long-dated, high vol-of-vol, or high-skew options). 3. **Practical Implication – Theta Decomposition Decision** (comment by Alex) Alex noted that whether to perform Theta decomposition depends on the risk-management approach: - Without decomposition → use SABR Gamma vs. dP/dt. - With decomposition → SABR Gamma maps to Spot Theta, Vanna to Cross Theta, and Volga to Vol Theta. **Overall Tone**: The discussion is highly technical and collaborative. Jeff drives the conversation by asking clarifying questions and presenting a well-structured 3-point summary of his recent study. Alex provides confirmations, practical insights, and code-level validation. Both participants demonstrate a strong command of SABR model nuances, particularly the relationship between approximation error, PDE residual, and real-world risk management.

据韩国经济新闻报道，韩国第七大养老救济公司 Bumo Sarang 去年将 595 亿韩元投资于以太坊主题股票 BitMine 的每日双倍回报杠杆 ETF，但受加密市场下跌影响，截至去年底该产品账面价值缩水至 102 亿韩元，账面亏损约 493 亿韩元。

特朗普（Donald Trump）重新上台后，华盛顿特区最明显的变化之一，是他的形象迅速占领了城市空间。他还以自己的名字重新命名机构，并对历史遗迹进行大规模翻修。 BBC北美事务编辑莎拉·史密斯（Sarah Smith）探访了特朗普正在改造的地点。

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