Hello all ,I m looking for data about default rates computed by Moody's.I need just 1 year historical data.I read in december 2007 , the index reached 0.9%. ( from moody's website).Where can i find data ??any helps will be appreciated !

Thanks Mutley even the doc seems to be an introduction to the CPPI .

<t>Hi all ,Try EDF trading on google ! you 'll find some information related to energy tradingEDF = Electricite de France a major in the field of energy producer & provider (electricity)You may get some stuff looking for TOTAL , EXXON , BP web sites.They also trade energy ( rather oil)Problem wi...

Ok thanks for answering me.I m quite disappointed but i have seen 'delta one ' in a job offer .I thougt it was something related to option structuration...But can't we replicate vaniila option payoff by buying and selling futures ??:--)

hi there ,I m wondering what 'delta one' means ?i guess it s related to structured finance specially equity derivatives but i would like to know more details !could someone explain to us the trick ! :-)of course any documents would be really appreciated .thanks

<t>"A problem with most journalists is that one day they'll be doing a piece on risk manangment in Pakistani banks, and the next will be on why women make better quants/racing care drivers/or marine biologists.Maybe she's a good teacher, but this article is just bollocks. Sloppy and badly researched...

<t>Many Many Thanks Hypersphere for replying me !Yeah Jumps is important issue : when i simulated with log normal dynamics , Fund Paths never broke the Floor... it s not realistic !That 's why i run simulation using Jumps (as Merton's paper) to get some case where paths go through the floor .In fact...

i 've ever read Lognormal is not the way for modelling paths for HF.Hypersphere do you have something related to CPPI option???Don't tell me nobody has never tried to write something about this issue !?!It s a real business ...

<t>Hi,Thx for answers.I am talking about Option on CPPI !More precisly , suppose i run a cppi portfolio with a fund as risky asset and bonds as risk free asset .Maturity say 5 years .In five years i promess you ( :--) ) the following payoff : 100% + Max (0 ; perf CPPI) where perf CPPI= (CPPI value a...

<t>Hi all ,I m working on cppi option but i don ' t have much papers on it :--(( I suppose i can use MC in order to price cppi option . I m about to implement it with VBA.But i am wondering if a closed formula has been derived ?Does somebody know where i could get any docs related to that field? (ev...

<t>thanks BigslickI know YA , it means Yieal Analysis , but i m gonna try the Sensivity Matrix!And about shiftting the curve , i think i have to compute a theorical Price for bonds where bond price = sum (Cash flow(t) * Zero coupon Rate(t)) t=1...T ... Can set up stress test scenario or use model su...

::--))Yeah you re right !!!But you know theory seems to be easier than practice ...I read a lot Finance theory and QF topics but implement models is not easy when you work with real data...THX for answering me even i would have prefered answers related to my topic //

<t>Hi pple ,I ve got some questions related to $Dur , Modified duration and so one .1/ I would like to get Modified Duration from Bloomy : i guess i have to use dur_adj_mid , i am right? I have decided to get duration adjusted from mid price since i m working government bonds...How i should interpre...

<t>hi pple !i would like to learn about cds-bond basis . I have already read lots of articles related to this topic from Lehman Brothers quantitative research , Deutch Bank credit research and so on but it's not easy to unterstand the whole thing ! Do you know some books dealing with this topic?any ...

<t>hi ,I am working on OBPI (option based portfolio insurance) and i would like to use jump process to know wether OPBI fits good with crash market situations. I ve just implemented log normal distribution using VBA but i m not able to implement the famous jump process...I don t get it how to add th...