Does somebody got an idea of the mathematical relationship between default correlation and default volatility ?? or between equity correlation and equity volatility ??Thanks in advance foryour help.

<t>Thank you a lot Herbie for your answer, but I have 3 questions :1- what is "LGD assumption" ?2- is it really correct to say that we can infer trigger probability from EDS spread ? Because EDS spread is by definition the premium (running and not upfront) of an american binary put....3- how do you ...

I have read the paper : I don't understand anything ...

I don't achieve to find Josh-Kanthi method ; do you know a link on web ?Thks

Hi, do you know if it exists a method for First-To-Default deltas (hedge ratios) computing ?It is always possible to shift CDS spreads and recompute FTD premium, but it's not accurate, and it takes a long time ...Thanks for your responses.

You can use easilly CDS options on single names or on credit index ; and there are the same similarities than equity options ...

Hi everybody, does anybody know the long term historical equity correlation for Trac-X 100 index and also DJ Eurostoxx50 index ????Thanks a lot.

Thank you Stefanone for this explanation.

Hi, in the following trade : Long Equity tranche vs Short Mezzanine tranche, how do you explain the convexity effects of spread moves ? If spreads widen, why Mezzanine tranche should widen more equity tranche ? Is the correlation the principal parameter of this fact ?

Do you mean that Hardcastle Trading is looking for guys ....

Hi Mencey, did you finally find a job in Switzerland ??I am looking for it too ....Blob

Hi, does anybody know how it's possible to price step-up bonds (function of company's rating) ?

Thanks a lot Madmax ; how can I find you email ?

I'm talking about a structural jump diffusion model , but I never used an intensity based model ....

HI, does anybody know a simple calibrated jump process for credit spread dynamics, in order to price CDS options especially ?Thanks in advance