Ted, BPV stands for basis point value. I.e. the value of a 1bp premium leg.

<t>Ted,the 0-3 equity tranche is different from the 0-3 tranche used within the 3-7 portfolio. They have the same default leg but different premium legs. As I mentioned before, the upfront payment has zero spread sensitivity. Thus, it does not matter whether you include it in your delta calculation ...

<t>guoted,as the delta for the upfront amount is zero (cash has no sensitivity to credit spreads) you don't need to worry about it. (There's no upfront for the 3-7 tranche anyway.)You need to price the 0-3 and 0-7 tranches with about 110bps running (or whatever your quote for the 3-7 is) within your...

the base correlation "model" is not really a model in the usual sense. it's an interpolation and translation tool. so, as long as most people use this tool to quote and look at the base correlation skew, it should "work".

<t>Sorry for jumping in this thread late...Erstwhile, HTFB:your example of the low and high vol IG FTD trade is good. But, I'd expect that a basket of high vol credits with the same spreads as a basket with low vol credits would have lower default correlation. Thus, the standard model may still add ...

<t>QuoteOriginally posted by: fodaoComplexity,My understanding is that the Base corr. we get from the market only gives us anidea of the correlation level in the US and in Europe. There is still the problemof how to assign a correlation to a bespoke portfolio.exactly! and this problem is neither sol...

<t>QuoteOriginally posted by: fodaoNakano,In my workplace we use the BS approach. I think this method is better if you are not using the homogeneous model.fado,how do you account for different diversity in the portfolio? The BS approach will give you exactly the same base corr for the CDX portfolio ...

<t>Once you know/assume the processes for all the underlyings of the index and their dependency structure, the no-arbitrage index distribution is determined. Thus, assuming that the index is, lognormally (replace with any distribution you like) distributed, may be inconsistent with the assumptions f...

QuoteOriginally posted by: snowwhiteI can't find the Joshi & Stacey paper you mentioned. Could you please post it again? Sounds very interesting.here's the link to tha paper: http://www.quarchome.org/igini.pdf

erstwhile: you're right. calibrating a copula model to one maturity will not give you the right results for another. the problem is that the forward loss distribution cannot be modelled correctly with a gaussian copula model.

<t>Helen,you don't need multiple factors to match the correlation skew using a random factor loading model. Calibration is not too difficult using constraint optimization algorithms. The parameters should be relatively stable, once calibrated. Alternatively, Variance Gamma type models ala Joshi &...

<t>QuoteOriginally posted by: HelenSome dealers reject the idea, but increasingly it seems more banks are using it regularly for bespoke STCDOs. The skew observed from CDX seems to be preferred over iTRAXX skew as the "market". However it is not clear that mapping the loss from the correlation skew ...

<t>QuoteOriginally posted by: LuckymanHi to all!just a quick question. I have historical data for Itraxx (mid spread). is there anyone that knows where I could find the data for the tranches? I am looking for the spreads. Bloomy or reuters' ric should be perfect.tks a lot!Not sure whether you can ge...

<t>Most single name CDS swaptions knock out on default. ISDA has recently released a draft confirmation template. So why do you bother looking at the case without knockout?BTW: Hull & White didn't come up with the extension of the Black model to the defaultable case. It was first published by Sc...

QuoteOriginally posted by: SPAAGGfor both projects, you should compute the present value...yeh, but don't forget to properly model the distribution of future career paths (and thus earnings) from the different initial choices