<t>Thanks bearish, glad to know I'm not missing anything obvious(!). I'm just thinking about simple metrics for relative value "analysis" on a buy and hold portfolio, given a (risk tolerance) defined universe of potential bond investments with (say) max 5 year duration and no other real constraints....

Ok, here it is.Comparing 2 bond yields, each with a different duration.Is using Yield / Duration (i.e. "yield points per year of duration) mathematically or conceptually incorrect? Is there a better way of doing this?

Thanks, that's very interesting.

<t>Thanks, I also found a source on the Fitch website, which I thought I would copy verbatim, as it's quite interesting:"Value on DefaultDeltas and DV01s assess the impact of a fall in the credit quality of a reference entity symbolised by a widening of its spread, but do not address the effect of a...

Help!I need to know, what is JTD, and how is it calculated / measured? can anyone recommend a good source?Thanks!Tom

Thanks Meteor - without opening up the docs, do you think that will give me enough bearing in mind that I don't have a PhD in Stats?

<t>Hi,Not really a student question, but I've been asked to implement Gaussian Copula to enable us to monitor our CDO exposure. However, I don't have a mathematical background beyond CFA stats, so it's all still very much over my head. Can anyone suggest a reading list in an order that will get me w...

Thanks, appreciate it.

<t>Thanks for the response, I'm already involved in fluffy stuff, which is nice, and I guess you're saying that clients don't know what they're doing so rightly or worongly you can accumlate assets without needing to actually know to much. Sounds about right from my experience. From my perspective t...

<t>Hi all,Background:Wanted to get some feedback from some of you guys working in structured finance (sf) out there. I'm currently working as an Investment Analyst at a smallish fund manager/prop organisation, about $2bn AUM on the SF side, mainly in MBS/ABS and 3rd party managed CDOs. I've been her...

Question: How many people are going to be lying on their deathbed saying "Damn, wish I'd spent more time working and less time skiing". Plus if you ever want a family and would actually like to see them...

I would try posting to MrExcel to get help with these questions.

Hi all,I need to calculate the duration of a CDS - does anyone know how to do this? Can it be done using Excel or is it a coding job (i.e. implementation of a formula)?Thanks

Thanks Stefanone, I'll give that a try!Sorry fo the late reply, but I'd given up on Wilmott - my faith will be restored (if it works)

Start with Hull and check the reference's if you need more is my suggestion.