Hi,How do you compute ABS spread based on market prices?Thks a lot.

<t>Hi,I'm trying to calculate counterparty risk for CDS.I have read in the litterature that we can use CDS options when we suppose independance between defaultsMonte Carlo I think is another way with stochatic default intensities with some correlation strucure.What about the 2 firms model from Jarro...

Hi,I'm looking for the paper written by B.Sundt "Recursive evaluation of aggregate claims distributions".thanks a lot for your help

I think you're right.I've started to read the paperthanks

Are u sure it's the same model ?LGM=?Markov Functional

Linear Gauss Markov modela generalized Hull White model I think

I'm looking for some papers on the LGM model.particularly the one called "Evaluating and hedging exotic swap instruments via LGM"I would appreciate if someone could send it to me or tell me where I can find some information on that subjectThanks

Hi,I'm faced to a misunderstanding of the FRN valuation process?Do we have to discount with the index rate?If yes with the current forward or with all the forwards?or do we have to discount with the yield curve?thanks a lot.

Hi,I have a question concerning the Cap/Floor parity for in arrears products like cap,floorDoes it hold?Thanks

Hi,Is someone know the team named DEFI Analytics at Société générale in New York?I know there develop models for fixed income and credit desksand they are also in charge of IAS norms.strange???Is it part of front?risk?Thanks

cannot attach papersorrybut downloadable pdf atdefaultrisk.com/pp_crdrv_33.htm

Hi,What are the different princing methods for cancellable CDS?Are there working papers on that problem?Thanks in advance.Mamokibiza

Hi,Can someone explain to me the hedging methods working with CDS optionsif we refer to schonbucher paper?I have some difficulties to understand the meaning of alpha_2?Thanks.Mamok

<t>Hi,Considering that we have:dlambda(t)=(teta(t)-a(t)lambda(t))dt+sigma(t)dW(t)Let P(t,u) be the survaival probability between t and u:P(t,u)=E[exp(-int(t,u,lambda(s))) knowing Ft]explicit expresiion of P(t,u)?Is there any working paper or article dealing with this subject?Thanks in advance Mamok ...

<t>Hi,Considering that we have:dlambda(t)=(teta(t)-a(t)lambda(t))dt+sigma(t)dW(t)Let P(t,u) be the survaival probability between t and u:P(t,u)=E[exp(-int(t,u,lambda(s))) knowing Ft]explicit expresiion of P(t,u)?Is there any working paper or article dealing with this subject?Thanks in advance Mamok ...