another interested reader: TMoosbrucker@web.dethank you!

You need an increasing Lévy process as subordinator ("business time") in order to get another Lévy process from a Brownian Motion. Another well-known example is inverse-Gaussian as business time, which gives you Normal inverse Gaussian (NIG).

removed

<t>At least for zero defaults (first line of table 1), I could get his results. This is my Matlab code:>> p_0_given_M=inline('(1-(normcdf((x-sqrt(rho)*m)/sqrt(1-rho)))).^100')p_0_given_M = Inline function: p_0_given_M(m,rho,x) = (1-(normcdf((x-sqrt(rho)*m)/sqrt(1-rho)))).^100>> rho=.3rho = 0.3000>> ...

The formula you use is the right one. You need to integrate the unconditional default probabilities over M. g(M) is the standard normal density. If you apply this correctly, you should get the same results.

<r><URL url="http://www.schonbucher.de/papers/cdo_loss_transition_rates.pdfBut"><LINK_TEXT text="http://www.schonbucher.de/papers/cdo_lo ... tes.pdfBut">http://www.schonbucher.de/papers/cdo_loss_transition_rates.pdfBut</LINK_TEXT></URL> recall, it is just a single date (Sep 26, 2005). You may find m...

<t>schizoidman,As stated below, I cannot use Bloomberg myself (I work in academia, we don't have access here). But several papers (including for example Schönbucher 2005 on his webpage) state that they got Base Correlations from Bloomberg. But I do not know how they implement it. Surely many people ...

<t>Thanks for your reply.I cannot use Bloomberg myself - so i can't say what function was used. I am using data in some research papers (they use Bloomberg), but the results are always the same. To give you an example:Schonbucher (2005) has for Sep. 24, 2005 , DJ iTraxx 5yr, the data (source Bloombe...

When I use the Excel spreadsheet by Lee McGinty (provided in some other thread), I always get Base Correlations which are much higher than the ones in Bloomberg. Sorry for this general question, but does anyone have an idea?Thank you!

<r>My question was more about market prices than modelling prices.say: where are the prices for standeard tranches on iTraxx (0-3,3-6,6-9,9-12,12-22) listed, which are used to calculate things like base correlation?Are thes prices "listed" somewhere (as the whole indizes are on <URL url="http://www....

<t>a related question:I haven't found anything on standardized tranches for iTraxx ofr CDX on the sites of markit or IIC.2 questions:- Are these instruments traded only OTC (but with standard attachment and detachment points)? - If so, how can one talk about a "price of a tranche"? Market surveys?tn...

<t>there is (was) a Hull/Predescu/White Paper on defaultrisk.com. In an earlier version of the paper (the one of march 2005) they describe in a brief section the idea of how to use their model for the valuation of options on indeces.I don't know if this section is still contained in the current vers...

<t>I have a basic question concerning contracts on Credit Derivative indexes:Assume I have sold protection on an (equity) tranche of some index, delta-hedging by buing protection on the index. Assume that for some reason the spread on the equity tranche narrows, while the spread on the whole index r...