Who knows a good data source for LGD data per industry and sector, so a lgd value per industry and seniority combined

Does anybody know the formule which transforms Black vol into normal Vol?

This webinar show how to calibrate the model and thereafter how to simulate the model with a LinearGaussian2f function from matlab. Unfortunately I haven't the toolbox which can do that job. Anybody any advice (or code) which I can use to simulate the model after the calibration?Thanks.

<r>Thanks,Just found an interesting webinar on Mathworks (<URL url="http://nl.mathworks.com/videos/calibration-and-simulation-of-interest-rate-models-in-matlab-90140.html"><LINK_TEXT text="http://nl.mathworks.com/videos/calibrat ... 90140.html">http://nl.mathworks.com/videos/calibration-and-simulati...

So, which model would you use instead of the Vasicek model?

<r>Hi All,I'm trying to calibrate the parameters of the Vasicek model from Euribor Rates (2008 - 2015, see attachment for the rates). I use a MLE technique (Matlab function from the Sitmo website: <URL url="http://www.sitmo.com/article/calibrating-the-ornstein-uhlenbeck-model/"><LINK_TEXT text="http...