Gill: Could you explain why RFL or CBM is used for HY/HG mixture portfolio? I though EL mapping can capture the dispersion...no? any comments on FLM, SPA models?

Seeing many impressive backrest charts showing attractive returns, I wonder if the total return is also a function of rebalancing frequency. If underlings are standard indices, has anyone tested the optimal rebalancing period?

<t>Thanks. Too bad that I don't have the subscription for CreditFlux. Any chance that you can post the file?Complexity: multi-factor (random or not) correlation models are all well intended but seriously lack the tractability thus hard to trade. What will become the "norm" for CDO or CDO^2 - correla...

<t>Some dealers reject the idea, but increasingly it seems more banks are using it regularly for bespoke STCDOs. The skew observed from CDX seems to be preferred over iTRAXX skew as the "market". However it is not clear that mapping the loss from the correlation skew is done on CDO^2. Curious to fin...

<t>I have a similar problem about delta derived from base correlations. Has the question Hunting posted on 10/4/04 ( see below ) been answered??? >>>>... when calculating deltas, we do the following (assume we want deltas for 3-7).1. Selling 3-7 protection is the same as selling 0-7 protection and b...