hi,I am looking for market prices for options which are american or bermudan and written on more than one underlying. does anybody know such an option where prices are available in bloomberg..thanks,philipp

hi,jfuqua, this website is really nice. do you, or anybody else know such a website for non-us cities like london, tokyo etc.

the independence copula IS a archimedian copula. just use the generator phi=Log(x).

<t>do you mean reasons for the issuer (the bank) or the investor.if you refer to the bank, think of the following situation: the bank has a bunch of loans and thus needs to underlay it with own equity capital. if it sells them to an spv which issues it as cdo the loans disappear out of the banks bal...

(exp(t*(1+x[,1]+x[,2]))*(-1+exp(t))*t)/(exp(t)-exp(t+t*x[,1])+exp(t*(x[,1]+x[,2]))-exp(t+t*x[,2]))^2

hi,does anybody know whther there are some rules on the cfa exam passing score (like 50% of the best score,etc.). I could not find anything on their website..

<t>one issue from germany: in the german economy the small and medium sized enterprises play an important role ("Der Mittelstand"). Under Basel II your Rating is supposed to determine the capital requirements and thus the interest on your loan. Since most SME do not have an rating this will be resul...

they are the same stuff

<t>to sample from the gaussian copula with correlation matrix R1. Find a decomposition of the desired correlation matrix R such that R = AA' (e.g. the cholesky decomposition, you should now that from cfa, don't you?2. draw n independent standard normal numbers (z1,z2,...,zn)'3. x := z'A4. u := phi(x...

<t>hi stylz,ragarding your questions:1) this is just out of convenience. the same reason as to use the normal distribution for everything, even if you know it is not the best choice. the normal distribution is well known, easlily calculated and easily simulated. Same applies to the normal copula, yo...

<t>the copula function has another nice feature. you can specify the margins first independently, i.e. calibrate each credit curve, and then put it all together into the copula to get the joint distribution. otherwise you would have to specifiy the joined distribution at once, and there is limited c...

sounds not so bad for me. what are you modelling precisely. the time of default? after having the [0,1] uniform distributed rv with the desired dependencestructure you have to apply the inverse of the marginal cdf to each component of your random vector...

has anybody experience with Goodness of Fit Tests for Copulas, especially the one ofChen, Fan and Patton (2003)Fermarnian (2003)Genest, Quessy and Rémillard (2005)I appreciate and any helpfull comment which test is most robust if anybody has used them...

Hi all,has anybody expirience with sconbucher & schubert's 2001 dynamic copula model for pricing cdos???

as far as i know, if you buy it you have to pay the accrued interest as well. the quoted price is the clean price without accrued. the price you have to pay is the dirty price = clean price + accrued interest.