Hi,Here's the basic JPM intro papers: Intro to base corr, rel value and also the large pool modle (which has appeared earlier on in this thread). Hope people find these useful.Y

<t>M.JPMorgan talked about the concept of ATM (at the money correlation) in the a research piece called "A relative value framework for credit". This talks about how you can compare correlation between two different portfolios. Bear stearns did a similar type piece (both methods take account the exp...

MRME - Make sure you have the analysis toolpack installed in excel (comes as standard) goto tools -> addins then tick the relevant box.Trinity - go back in this thread and you will be able to download the spreadsheet.

<t>CompleteQuant and fodao,The information you have is the spread of the tranche. The process of obtaining the correlation and hence the expected loss of the portfolio is an iterative process. Using the base correlation model from JPMorgan (see earlier in this thread) if you have the spreads on the ...