I am thinking of using this base correlation model and modify to get the correlations for the CMBX ? Any comments or objections?

can we still get the pricer? gurayuner@gmail.comthanks.

I am thinking of working on base correlation approach to get correlation for CMBX tranches. Any comments or objections on this? Thank you.

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<r>Could you be more explicit...I have this option, the spot is 60 now, and I will be paid 100 if the underlying hits 100. Else I can wait till infinity.What is the price of this option? is this an perpetual american digital opt?And I have found this.<URL url="http://www.elitetrader.com/vb/printthre...

<t>Could you be more explicit...I have this option, the spot is 60 now, and I will be paid 100 if the underlying hits 100. Else I can wait till infinity.What is the price of this option? is this an perpetual american digital opt?I can assume GBM, and either suggest an analytical solution or get nume...

a binary option that is out of money right now but has an unlimited time to expiry? What would be a good approach to price this?

<t>The position is for a regional retail bank. I guess they are mostly dealing with Basel II accord and regulatory calculation. And I guess they trade CDS for hedging. I guess they are planning to implement advanced IRB for calculation of regulatory capital, they will develop their models for PD, LG...

<t>I more or less know that I will be working on credit risk. The position is quantitative modeler so the details of the regulation would be less important at this point, I guess. I will be interviewed by two guys, one has math phd, other with physics phd+quant finance master. I guess it is gonna be...

What math, statistics and econometrics topics are very important for credit risk modeling and model validation?What analytical level is demanded for Basel II compliance work?Thank you.

<t>next week I will have an interview for the quant modeler position for the risk department of a regional bank. I have posted the information on the position below. I am coming from corporate finance background. Empirical finance, like Fama French model, event studies etc, mostly cross sectional, n...

<t>Thank you Yossarian;I want to make sure that I got this base correlation approach correct. I read the the document "A model for base correlation" that explains how the calculations were carried out by spread sheet.For each tranche, by the spread quoted in the market , a cumulative default probabi...

Can someone send me a working copy of the spreadsheet. The one I downloaded (2nd post) gives a run time 13 error message in macro when I try to "solve for corr". Lee or someone, I will appreciate if you send me as an attachment or post it here. Thank you.