This formula assumes coupon is paid continoulsy which is not the case in the real world.What people do is to discount coupon leg with quarterly payments and then add a correction term to take into account the expected accrued interest. I think your difference is coming probably from this.

Your formula doesn't take into account the expected accrued coupon to be potentially paid till default time.Not sure about BBG, but they might have included a correction to include this factor that can be quite significant for higher yielding names.Hope it helpsS

I dont have acees to them. Sorry.

There are interdealer brokers who send dailiy runs on standardized FTD but apart from that is not an easy data set to find

this is when trading becomes an art and not a science. no model will ever tell u what to do. and your corr assumptions will depend also on several other technical factors (axes, liquidity of underlying single names, recovery dispersion, maturity).

<t>Apart from having a market for standardized index tranches (CDX or iTraxx) there is also a market for standardized FTDs divided by sectors (financial, industrial, energy, hivol, diversified etc).This market provides an implied correlation number to use either for highly concentrated or diversifie...

good luck...

Check the book "intro to credit modeling" by bluhm, overbeck et al.If i recall well, they have a section on unexpected loss...rgds,S

<t>I have been on both sides of the game, earlier as a student now as a practioneer.What I can say is that, compared to 3-4 years ago, MSc or Phd students looking to practically implement models have zillions of good textbooks and internet sources they can use to be more proficient in portfolio cred...

Have a look to the latest CreditGrades model implementation. They are using a similar argument as HW with closed formula solutions for call and put.There's a paper dated July 2005, which explains the methodology.Good luck,S

If only I had time, I would do an english one...But it's going pretty slow..Thanks for the interest anyway.Rgds,S

This is the best and most clear paper I have read so far...http://defaultrisk.com/pp_other_26.htmHope it helps,S

x EuroJust to be clear on the terminology:Leverage= Average[% single name deltas] / % Tranche WidthOfetn people call leverage also Tranche delta.Hope it helps,S

for US indices do CDX3 CDS Corp <GO>I guess iTraxx quotes can be found at www.iboxx.comhope it helps,S

Numerical Analysis, MonteCarlo Methods, Variance Reduction Techniques, Multivariate Statistics...VBA, Excel PivotTables, Excel Tables, Excel VLookUp, Index, Match, Offset...you gonna use them every dayhope it helps,S