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by slym
October 15th, 2007, 9:50 am
Forum: Technical Forum
Topic: Tranche Spread trend. Problem with Model, or problem with Copula?
Replies: 5
Views: 64080

Tranche Spread trend. Problem with Model, or problem with Copula?

Hey, all you guyz out there trying to achieve their thesis & papers to be published !didn't anyone tell you that the CDOs / Correlation market is dead for months ???maybe you could try some volatility surface modeling, sounds better for your resume now ...
by slym
October 1st, 2007, 11:41 am
Forum: Trading Forum
Topic: Standard equity mark to market
Replies: 1
Views: 65071

Standard equity mark to market

<t>Hi to all.A simple question regarding the expression of the MtM of an equity piece on the standard indices.The equity piece trades on UF. To compute the MtM, I switched on equivalent running spread, which suggests that for a protection selling position, the MtM at time t should be :UpFront_0 x (P...
by slym
July 16th, 2007, 8:29 am
Forum: General Forum
Topic: Pricing LCDS/LCDX
Replies: 24
Views: 81098

Pricing LCDS/LCDX

is it a Single Tranche or a full cap CLO ?if a full cap CLO, using indexes doesn't make sense at all. you're not dealing with the same issues.
by slym
July 13th, 2007, 11:32 am
Forum: Technical Forum
Topic: VaR + Bootstrap
Replies: 2
Views: 68757

VaR + Bootstrap

Thx I'll check that.slym
by slym
July 13th, 2007, 9:34 am
Forum: Technical Forum
Topic: VaR + Bootstrap
Replies: 2
Views: 68757

VaR + Bootstrap

Hi guyz.How many historical data does one need to compute VaR based on bootstrap ?Thx in advance & rgds,slym
by slym
June 28th, 2007, 12:12 pm
Forum: Technical Forum
Topic: Correlation Assumption for FTDs
Replies: 14
Views: 71175

Correlation Assumption for FTDs

<r>I agree w/ Wibble.Consider a lot of people are note confortable 1/ with the BC methodology and 2/ with the BC mapping from index to bespoke.If you're thinking of applying the BC (underlying ptf of 125) with a basket (usually max 25 names), I can sell you protection <E>:-)</E>--------------------s...
by slym
June 28th, 2007, 7:29 am
Forum: Technical Forum
Topic: Perfect Replication of Credit Derivatives?
Replies: 11
Views: 71410

Perfect Replication of Credit Derivatives?

<t>There was a nice introduction to default swap done in late nineties by Duffie dealing with its perfect replication in a simple setting.It is equivalent to going long a risk free floating rate note maturing on the same date than the CDS, and shorting the bond (in FRN format with a spread above the...
by slym
June 11th, 2007, 4:52 pm
Forum: Technical Forum
Topic: ZC tranche pricing
Replies: 3
Views: 70319

ZC tranche pricing

I'm not that surprised ... ZCE price is just the discounted remaining notional of the equity tranche ... As of end of may, I had a equity Exp. Loss of around 2.8% (out of 3%), thus undiscounted = 4,5% and when discounted roughly equals 2,5% ... but maybe I understood nothing to ZCE ;-)
by slym
June 7th, 2007, 10:50 am
Forum: Student Forum
Topic: spread of equity tranche decreasing with correlation ?
Replies: 3
Views: 70635

spread of equity tranche decreasing with correlation ?

<t>to elaborate a little further, when you increase correlation, you are increasing simulteanously the prob of having large losses, but also the prob of having no loss at all. To a certain extent, your investment on the equity tranche becomes less "random" (only two outcomes).On the opposite side, s...
by slym
June 7th, 2007, 7:56 am
Forum: Student Forum
Topic: spread of equity tranche decreasing with correlation ?
Replies: 3
Views: 70635

spread of equity tranche decreasing with correlation ?

consider the limit case where correlation is 100% : all names in underlying ptf default or none of them defaults. The loss distribution for the portfolio is binomial which favors the equity tranche.
by slym
April 25th, 2007, 10:38 am
Forum: Technical Forum
Topic: Risk Neutral Pricing vs CDS Pricing
Replies: 34
Views: 78761

Risk Neutral Pricing vs CDS Pricing

In a few words, and for any type of derivative, whenever you refer to daily market quotes to imply some given parameter (implied vol, hazard rate, correlation ..) you are de facto working under the risk neutral prob.physical prob will be used for risk calculations.
by slym
March 1st, 2007, 3:13 pm
Forum: General Forum
Topic: approximation of categorical to continuous variables
Replies: 3
Views: 77702

approximation of categorical to continuous variables

shouldn't you try logistic ?
by slym
February 27th, 2007, 12:24 pm
Forum: Technical Forum
Topic: Tranche pricing methodology
Replies: 12
Views: 79425

Tranche pricing methodology

<t>in the case you want to stick with the MC approach, isn't there a small mistake in the definition of you time of default ? i think you might have forgotten a '-' in your equation ...btw, you're right with the approach you suggest : conditionnal on the state of the market factor, the probability o...
by slym
February 20th, 2007, 7:59 am
Forum: General Forum
Topic: Market CDX7 and ITRX6 tranche Deltas
Replies: 4
Views: 78878

Market CDX7 and ITRX6 tranche Deltas

Dataquery (morganmarkets).They provide historical tranche deltas for all series since index trading began, I'm positive about it ...try with your local JPMorgan salesman ...cheers,slym
by slym
January 22nd, 2007, 4:58 pm
Forum: Technical Forum
Topic: Forward CDS
Replies: 6
Views: 85109

Forward CDS

you need DVO1s for each date, so you must know the DProbsfwd spread x years in 2 years = ((spread (x+2)Y * dvo1 (x+2)Y) - (spread 2Y * dvo1 2Y) / (dvo1 (x+2)Y - dvo1 2Y)
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