Hey, all you guyz out there trying to achieve their thesis & papers to be published !didn't anyone tell you that the CDOs / Correlation market is dead for months ???maybe you could try some volatility surface modeling, sounds better for your resume now ...

<t>Hi to all.A simple question regarding the expression of the MtM of an equity piece on the standard indices.The equity piece trades on UF. To compute the MtM, I switched on equivalent running spread, which suggests that for a protection selling position, the MtM at time t should be :UpFront_0 x (P...

is it a Single Tranche or a full cap CLO ?if a full cap CLO, using indexes doesn't make sense at all. you're not dealing with the same issues.

Thx I'll check that.slym

Hi guyz.How many historical data does one need to compute VaR based on bootstrap ?Thx in advance & rgds,slym

<r>I agree w/ Wibble.Consider a lot of people are note confortable 1/ with the BC methodology and 2/ with the BC mapping from index to bespoke.If you're thinking of applying the BC (underlying ptf of 125) with a basket (usually max 25 names), I can sell you protection <E>:-)</E>--------------------s...

<t>There was a nice introduction to default swap done in late nineties by Duffie dealing with its perfect replication in a simple setting.It is equivalent to going long a risk free floating rate note maturing on the same date than the CDS, and shorting the bond (in FRN format with a spread above the...

I'm not that surprised ... ZCE price is just the discounted remaining notional of the equity tranche ... As of end of may, I had a equity Exp. Loss of around 2.8% (out of 3%), thus undiscounted = 4,5% and when discounted roughly equals 2,5% ... but maybe I understood nothing to ZCE

<t>to elaborate a little further, when you increase correlation, you are increasing simulteanously the prob of having large losses, but also the prob of having no loss at all. To a certain extent, your investment on the equity tranche becomes less "random" (only two outcomes).On the opposite side, s...

consider the limit case where correlation is 100% : all names in underlying ptf default or none of them defaults. The loss distribution for the portfolio is binomial which favors the equity tranche.

In a few words, and for any type of derivative, whenever you refer to daily market quotes to imply some given parameter (implied vol, hazard rate, correlation ..) you are de facto working under the risk neutral prob.physical prob will be used for risk calculations.

shouldn't you try logistic ?

<t>in the case you want to stick with the MC approach, isn't there a small mistake in the definition of you time of default ? i think you might have forgotten a '-' in your equation ...btw, you're right with the approach you suggest : conditionnal on the state of the market factor, the probability o...

Dataquery (morganmarkets).They provide historical tranche deltas for all series since index trading began, I'm positive about it ...try with your local JPMorgan salesman ...cheers,slym

you need DVO1s for each date, so you must know the DProbsfwd spread x years in 2 years = ((spread (x+2)Y * dvo1 (x+2)Y) - (spread 2Y * dvo1 2Y) / (dvo1 (x+2)Y - dvo1 2Y)