Hi all,does anyone know what the general assumption for these parameters is?Thanks,SurferD

Hi all,does anyone have experience using the Gaussian Copula with Base-Correlation for LCDX9 Tranches?Regards,SurferD

Hi all,does anyone have a model for the ABX Tranches?regards,SurferD

Hi all,has anyone tried to implement this model?Regards,SurferD

Hi aconze,sounds exciting - how does the local correlation model work?Regards,SurferD

Thanks for the answer - any other opinion on this?Regards,SurferD

<t>Hi all,I was wondering how to find base-correlations to price a 'bespoke' synth CDO tranche (i.e. a tranche on a non-standard portfolio). I read some time ago about the JPM approach that transforms the attachment points into multiples of EL of the portfolio, etc. Is this the street standard in th...

fodao: this is the only one I know as well - sorry for the confusion. I was more thinking in terms of specification. Regards, SurferD

Thanks a lot for the preso, looks really interesting! Which one of the random factor loading models do you like most? Regards,SurferD

<t>Hi all,I heard some people are quoting nowadays in base-correlation and I was wondering: does anyone use the ATM Correlation concept described in the JPM paper 'A Relative Value Framework for Credit Correlation'? In particular for 'calibrating' a custom portfolio into an index is this the market ...

Hi all,does anyone have a suggestion how to price them beyond assuming it's a single name CDS?Regards,SurferD

Thanks for your answer - do you have a recipe how to simulate Clayton-distributed Random Variables fo higher dimensions (e.g. 100-dim)?Regards,SurferD

Hi all,does anyone have any experience with the Clayton copula - theoretical or practical?Thanks+regards,SurferD

Thanks a lot for the help - do you have any experience with part 4 (Is there any other specification than the one proposed in part 4.1 leading to 'good' results?)?Thanks again,SurferD

Hi all,does anyone have experience with this?Regards,SurferD