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iTraxx Series 9 base correlation data

Posted: November 4th, 2011, 9:12 pm
by HomerJay1984
Hi,I'm currently working on my thesis and therefor I need iTraxx Series 9 base correlation data for all tranches on 09/16/2008 and the business day before and after. Unfortunately I have't access to Bloomberg. Does somebody know, where I can get that data? Or maybe somebody could send me the data? I would be pleased about every hint or support!Kind regards,Homer

iTraxx Series 9 base correlation data

Posted: November 5th, 2011, 7:39 pm
by tagoma
noone has replied, yet. i put few words despite that that doesn't help.similar questions were asked some time agor, here and there . unfortunately it wasn't conclusive.we don't have those data on the reuters system at my workplace. thus, even if i wished to be nice to you (but unfair to reuters !!) ...i hope you'll get what you need.├ędouard

iTraxx Series 9 base correlation data

Posted: November 24th, 2011, 3:39 pm
by MaxCohen
you thought about contacting Markit...

iTraxx Series 9 base correlation data

Posted: November 25th, 2011, 11:12 am
by HomerJay1984
Hello!Yes, I contacted Markit a few days before I have asked for the data here. But I didn't get a response... :-( The subject is still of topicality. So, it would be really nice if someone could help me.Kind regards,Homer

iTraxx Series 9 base correlation data

Posted: November 25th, 2011, 11:43 am
by MaxCohen
Are synthetic cdo's really a subject of topicality. Banks are just trying to hedge what ever trades they couldn't sell off.All the research behind modelling cdo seems to have stopped. www.DefaultRisk.com use to be filled with new papers on different approaches to modelling cdo. The market has settled for a simple model base correlation with random recovery because there is no appetite for cdos.

iTraxx Series 9 base correlation data

Posted: November 25th, 2011, 12:33 pm
by HomerJay1984
You are right with CDOs. Maybe I Have has expressed myself incorrectly. I mean, that I still need the data, because they are for my (Diplom-)thesis. I don't choose the topic with the cdos. My prof select it for me.

iTraxx Series 9 base correlation data

Posted: November 25th, 2011, 12:49 pm
by MaxCohen
Unless you need a large set of historical data why not just use quotes from other research papers. If you are building similar models like base correlation random recovery you can also see how well your model fist against the authors model in the research paper. When you say thesis do you mean for a Phd?

iTraxx Series 9 base correlation data

Posted: November 25th, 2011, 1:20 pm
by HomerJay1984
No. Not for a Phd. In Germany we say "Diplom". But that degree course is now very rare. It has been replaced through "Bachelor" and "Master". You could compare it with a "Master's degree".I think I will try your advice with the other research papers. Maybe I get what I'm looking for. Thanks.

iTraxx Series 9 base correlation data

Posted: November 25th, 2011, 1:31 pm
by MaxCohen
I did my MSc dissertaion on modelling cdo something very similar. You wont need a load of historical data. Just a few recents quotes when spreads gapped out and non- random recovery models could no longer fits prices T15-30 cdx9 prices.If you google base correlation with stochastic recovery there is a wealth of research papers out there.How you going to implement the model?

iTraxx Series 9 base correlation data

Posted: November 26th, 2011, 8:16 pm
by hamster
QuoteOriginally posted by: HomerJay1984You are right with CDOs. Maybe I Have has expressed myself incorrectly. I mean, that I still need the data, because they are for my (Diplom-)thesis. I don't choose the topic with the cdos. My prof select it for me.you forgot a simple rule of writing thesis: Dont come up with a topic without having data.