<t>So i'm looking at the Merrill Credit Deriv handbook '03 publication. So assuming a 5yr CDS spread of 380, and recovery rate of 40% they bootstrap the survival probabilities from years 1-10. I'm trying to back into their numbers but am not getting there. I'm assuming they're starting with an inten...

What are they and how do they work? I guess I'm asking within the context of asset backed commerical paper.thanks.

http://www.risklatte.com/fECaseStudies/fECase004.phpCan anyone back into the 16.50? Trying to figure out how they came up with it.

<t>Nope wasn't in the MFE program at Mcgill - i'm referring to just how Mcgill operates in terms of recruitment in general. The fact that they're coming up with an MFE program this late shows how they've already missed the boat already. If you want to study in Canada i'd say do Toronto,otherwise go ...

<t>McGill is great if you don't plan on getting a job after you graduate, and you'd rather sit in coffee shops and pontificate about stochastic processes as you watch beautiful people walk by. Trust me on this I started at McGill and was so frustrated with the pathetic recruitment I transferred to W...

Does anyone have the papers for Moodys structured note methodology, and anything on the CDO ROM model?

Does anyone have any information on these types of deals?Anything from deals done recently ratings agency methodology.thanks!

In general do Synthetic structurers make more than their cash counterparts?Or is it more firm dependent?

<t>I'm trying to mimic the methodology and results of David Li's paper on Default Correlations a Copula Function approach.If my understanding is correct 1) first simulate n random variables Y1...Yn from a multivariate normal with correlation matrix R.2) Map back the Y's to to ti's the default time o...

Does anyone know roughly what the attachment points are for BB, BBB, A, AA and AAAs when sized according to s and p off of the Iboxx index? what are the spreads on these tranches? ball park numbers are fine. Thanls in advance.

<t>Anyone have a good reference on CSOs for a beginner? anything discussing the Itraxx or other indices would be helpful. I have a rough sense as to how they work but a good introduction would be helpful. I have a rough idea of how they work but a few things i'm unclear about. I've tried googling bu...

<t>Has any one been able to replicate the numbers in the paper released by Moodys on their Fourier Transform methodology for computing loss distributions for CMBS/CDOs etc. It is essentially one of the new methods they recommend using in addition to BET, and avoids lengthy monte-carlo simulations fo...