What is the structure of the teckchek online test on c++? Does it consist of multiple choice, answers in text format or pure programming questions? Could you provide a typical question?Thanks

<t>The phenomenon you describe is a well known behaviour in the CDO market. The implied correlation is not unique for mezz tranches, i.e for a contract with sensitivity towards the mid parts of the loss distribution there are two correlations which will produce the same price. An NtD with N > 1 can ...

That is one of the techniques in the portfolio of time consuming ones. Since the distribution is dependent on the correlation parameter you would need to run a MC each time you price a tranche. Calculating the implied correlation would take forever.

<t>Regarding the distribution for X_i when the idiosyncratic and the market factors are t-distributed. I haven't seen anyone suggesting a good approach of finding the distribution for X_i. Since it must be performed in run time the performance is a vital factor and all available techniques I've trie...

<t>I experienced the same immense instability for the Appendix A approach. For larger baskets I could not find a way to get a reasonable loss probability structure using the simple technique: if p > 1 => p = 0. I guess there are better approaches to reduce the instability but I can't see why one wou...

<t>snowwhite,Maybe I don't understand your concern, but here's what I suggest you do:For each discrete point in time:For each bucket you integrate over a common factor Y. For each Y=y you have to calculate the conditional probabilities for all buckets. Why don't you just cache the conditional probab...

<t>Edit: This is a reply to your first post, Aaron. Thanks for your comments, really appreciated.Stubborn as I am, I still want to hold the model assumption of continuously tradable basket members intact. I realize that the discussion then becomes purely academic but my ambition at this stage is jus...

<t>Right, thanks vespaGL150 for that post. Maybe I'm missing something here but in the double t-copula in H&W's paper, don't you have to determine the distribution function for Xi numerically (the distribution function termed H in JPLs slides)? It really boils down to what distribution the sum o...

<t>There seems to be a widely accepted view that the market for credit basket contracts is incomplete. In the real-world market, there simply does not exist a set of hedge instruments to construct a self-financing portfolio replicating the payoff of e.g. a First to Default (FtD) contract. Several au...

<t>I'm looking for contract specifications for market quoted CDO tranche contracts. The ideal package would be a snapshot on a specific point in time of the following:1) The underlying index members (and preferably single name spreads)2) The loss protection attachment points of the tranche(s) and ot...

<t>Thanks mohamedb, but currently I'm not concerned about the actual implementation. I'm looking for hints to help me explain in detail why the procedure described in Appendix B in the HW paper leads to the total conditional loss distribution. Of course it would also be interesting to see ppls ideas...

<t>Can someone recommend any good literature to understand the maths used to come up with the probability bucketing scheme in the HW paper (i.e the second implementation approach)? Nothing in the bibliography really gives a hint. Just to clarify, I'm only interested in learning more about the iterat...

<t>Yes of course you're right. M is defined as a N(0,1) random variable, taking values in [-inf, inf]. That will explain everything.My Gaussian quadrature integration procedure probably needs some tweaking as the probabilities will not take values in [0,1] unless the integration is done from 0 to 1....

<t>I use the second implementation approach in the HW paper where the loss distribution is built up in an iterative procedure one debt instrument at a time. As simple as it seems to be to implement, I assume millions have been successful in their implementation and now feel they want to share some t...

<t>I have made a brave attempt to follow the work in Gregory and Laurent's "Basket CDS, CDO's and Factor Copulas" related to pricing of non-homogeneous baskets in a factor copula framework. However, this most intriguing adventure seems to end where it gets the most interesting - no implementation or...