Stepping into a high coupon cds trade when speads are lower I think is equivalent to being long/short an IO strip and hence becomes very sensitive to default timing. Wondering how to value this..Guess it's a bit like interest-only equity tranches..

<t>Are there simple rules out there regarding price adjustment for assignment CDS trades where coupon levels are a long way from current par market levels? As a rule a trader would want to adjust a market quote if asked take on e.g. a high coupon cds when the credit is trading at much tighter levels...

Application to portfolio analysis covered here:http://www.csfb.com/institutional/resea ... deling.pdf

Hi mapleleafs,Could I tag on too ? fjkoch@gmail.comappreciate it!

switched firm..

<t>I moved into synthetic cdo structuring..Miss the C++ coding as well as the ability to manage my own time but love the fact that I have a P&L andthat I speak to clients. No regrets, great move into awhat is surely one of the most interesting areas of financeright now. The ability to innovate i...

i have the same problem with the pdf

I second chesscorner on that. Many hedge funds put on the equity - mezz position (lots of carry and long correlation) and now they are all running for the exit at the same time.

<r>Shaotzuning,Check out chapter 9 in our primer for a discussion on CVaR:<URL url="http://www.csfb.com/institutional/research/CreditPortfolioModeling.pdf"><LINK_TEXT text="http://www.csfb.com/institutional/resea ... deling.pdf">http://www.csfb.com/institutional/research/CreditPortfolioModeling.pdf<...

We published this on 29 Oct 04 but it's a compilation of past articles from our group.

<r>A credit portfolio modeling primer covering fundamentalsas well as latest techniques. Feedback welcome.<URL url="http://www.csfb.com/institutional/research/CreditPortfolioModeling.pdf"><LINK_TEXT text="http://www.csfb.com/institutional/resea ... deling.pdf">http://www.csfb.com/institutional/resea...

Does anyone know of any primers or tutorialsin this area? FFT, Saddlepoint technique, etc?thanks,Jim