<t>Attachment has brief definition of dynamic credit default swap (p 10): a default swap where notional is mtm value of portfolio of swap. No reference is presented on how you price such instrument however. I have few questions:1) Does such a product actually trade? 2) How would one model such a pro...

<t>now that the cds on abs/mbs market is starting to take off is there an emerging trend to try and back out and implied default prob from traded prices in order to price cdo? Is the market liquid enough yet to do this? Or are people trying to calc an implied default prob from the tarded price/sprea...

are CDO^3 even traded in the mkt? What models are used?

<t>any good reference material on how to calculate average life for CDOs -both synthetic and cash flow? Also it seems like most of the papers only casually treat the issues of CDO theta - is it because in practice people don't care about this? are peole simply shifting the valuation date by 1 day ce...

<t>I can calulate a delta for a cdo as follows: [MtM2 -MtM1]/1bp *PV01(ith single name CDS). Where MtM2 is price after a small shift in the ith spread; MtM1 is price before any shift. I can likely calculate the gamma using this kind of finite method. However, if given only the levrage of the tranche...

does any one know of any reference documments on using callable/puttable risky bonds to extract survival probabilities?

<t>Thanks. That does help. one follow up however, why is it that in the normal copula the answer will be slightly higher? why is the bias to one side?I guess the same behavior would be expected if you use a second to default as well. Basically you'd only move the detachment point for the equivalent ...

Within a Gaussian copula model I am getting very high par spread. How best to find theoretical bound so I know algorithm is ok for cdo of 100 names with constant and uniform recovery rate, uniform notional and non uniform spread curves?

<t>I order to speed up cdo pricing it's my understanding that dealers will usually use some form of numerical integration such as FFT or convolution in order to get real time pricing and hedge ratios; is there anything in the literature that explains how such techniques as FFT and/or convolution are...

is there a way to derive black-76 version for cds options? if so would analytic greeks (delta, gamma, vega, rho, theta) derived from such a model have the traditional meanings with respect to the underlying (i.e. cds spread)?

<t>friend of my just garduated from grad school and has gotten a job as a junior analyst on an equity derivatives desk. She is not sure how she got the job (was not even interested) but got it anyway. She knows she will be part of team that's responsible for producing daily P&L for the equity de...

<t>Thanks. If I could follow up on a specific context...........supose that you are looking at the credit risk of a derivatives portfolio to say a Hedge Fund or at the credit exposure to a non-public firm and want to construct the losses distribution what sort of recovery assumptions/models would yo...

<t>Can some give some guidance on some of the recovery rate models that end users actually use? A quick guide to the literature would be helpful. I see a few things out there about simply using the Beta distribution, is this what most people use to try and make the problem more tractable (assuming y...