There are lots of papers in Defaultrisk.com dealing with dynamic models in Credit. Do a search for Walker, Brigo, Schonbucher, Sidenius, etc.

<t>My comments:ii) I also think that Base corr does not have enough information to price a forward CDO.iii) Schinbucher and SPA model would be the ideal ones to price such deals. But i don't think settingvol to zero is the right approach. The existence of a volatility is the main feature that distin...

Damn, I've solved the wrong problem... I understood the question as being "keep throwing 3 dices until you get the sum equal to 15". Anyway, this is a good question too.

<t>i believe Mike Crowe is who got the closest to the answer to the original question. Actually there are 10 ways to obtain 15 with 3 dices: 3! times (4,5,6) + 3 times (3,6,6) + 1 (5,5,5) = 10. Prob of obtaining sum = 15 out of 3 dices = p = 10/216. n: r.v. of number of ways we have to throw to unti...

CDO tranches with different maturities allow you to calibrate the initial distribution, even though it is not a trivial matter given the few points in the market. However how do you get the volatility? We can only treat it as a parameter, since we cannot imply yet from the market.

I believe these models will only become more relevant if we start seeing a development of a marketfor CDO options. I don't think we are there quite yet. But that doesn't stop you from implementingand getting familiar with the model.

Junior quant? Expect half of that: around 100k or even less. Cheap Trader Joe?After tax i don;t think so! And $2000 is a damn small studio! Only in Manhattan someone making 100k lives in such a small place.

<t>Bad news: rents are going up in Manhattan. One bedroom? In Manhattan you cannot find a decent for less than $2500! A good studio in a good neighborhood is around $2000. It ain't cheap!There is always the option of living outside the island: Brooklyn, Queens, NJ. It alld epends how much you value ...

<t>Don't even think of living in Stamford or anywhere else in CT! If you like London, you gotta live in Manhattan!Otherwise you will die of boredom! Trust me, I've lived in CT. Never more!Many people commute Manhattan to Stamford. No big deal! It is only 40 min and all express trains stop at 125th.T...

Quite expensive too!

In a dynamic intensity model you'd need a dynamic instrument to calibrate. Something like a CDS option.Of course your model would also have to be calibrated to the CDS market.

An incomplete market means that the risk-neutral measure is not unique. It is defined by the market! Itis similar to the interest rate market.

<t>My two cents: CDO tranche quotes can only give you a static vision of the market. It does not give you any information of the dynamics of the loss distribution. Therefore it is expected that the models need something more (= volatility). It is quite technical because the problem is hard! We canno...

GTI,This might help youhttp://www.fabiopeixoto.com/papers/CDOessay.pdf

Sorry for the delay DonTony. Using a Gaussian factor model I get 167 bps. I confirmed this value with a MC simulation.