Given that the only interesting work was likely to have been in structured credit, now that this is dead, there isn't much hope going forward...All projects tended to be related to new transactions coming from the IBs, so research is very much reactive vs pro-active...

Look at Birkbeck, U of London and Prof. Helyette Geman

Not a great deal - Prior to purchase there's the offering circular (OC) typical of other debt issuance.On a ongoing basis, there's the periodic (normally monthly) investor report from the issuer, which normally includes principal and interest paid during period, any defaults, delinquencies....

<t>QuoteOriginally posted by: dingdingBut how to price the excess spread and what is the point of pricing it? Are there acutally investors who are investing Excess spread?You don't 'invest' in excess spread. It's either in the structure as simplified in your formula or it may not be captured at all ...

<t>QuoteOriginally posted by: dingdingDoes that mean OC and excess spread are the same things?Although both OC and excess spread provide credit enhancement, they are not the same.OC (=overcollateralisation) is the case when the value of the assets exceeds the face value of the notes, which may have ...

<t>Excess spread provides credit enhancement to the notes and is not normally fixed over the lifetime of the structure, because of prepayment, amortisation and defaults., thus reducing the asset margin from the loans in your formula.Consider a structure with initial excess spread that issues notes p...

Would like to add, for PDEs, the first four or five chapters of Wilmott's "The Mathematics of Financial Derivatives" (little red book) should get you up to speed to a point where your formal lectures can take over.

<t>No, nothing too wrong, in my mind.It's the same as if I were to buy a car for example - I'd probably take a test-drive at my local dealer (i know i'm not going to buy it on the spot, so why travel to a dealer far away?) and if I like it, I find the cheapest one within a 100 miles radius, because ...

Sounds like a good decision.And given the current market condition, you might be better off holding till the end of your PhD to join the market.

<t>The problem is that some investors still think that a AAA rating means risk-free - it clearly isn't. If you are going to get X bps over treasuries then you should appreciate that you're taking some risk. Securities are rated accordingly under different stress scenarios. A security rated AAA (and ...

<t>Are you in the UK?When I want to peek into an unknown book before buying it online, I'd get Waterstones to order it in store so i can read it first. I then buy it online where it's cheaper, since Waterstones always sell at the recommended retail price (RRP).Nothing wrong with this - it's a free s...

<t>I don't think so.Moody's KMV model (you are referring to this when you say KVM, right? ) and Ratings all have their useful purposes. But the model is just that: a model. And ratings are simply credit opinions.Too much faith might have been placed in the latter, but the issue at the moment now is ...

<t>Each tranche has its own price/spread. As you indicated, each tranche of the capital structure pays out a different coupon so why pay the same for the equity tranche (higher coupon) as you would for a less risky senior tranche (lower coupon)?Likewise each tranche prices differently at issuance (p...

Watch out for the caps-lock.

<t>Thanks for the tips.I've had at least 2 screens at work for the past 4 years, but since I haven't browsed for a PC with the aim of buying in ages, I was wondering if any special card was required.I'm actually quite surprised PCs kitted out with two monitors haven't become mainstream yet. A second...