<r>CDX coupons are voted by the traders. You can refer to <URL url="http://www.markit.com/information/affiliations/cdx/panelLinks1Paragraphs/02/document/CDX%20Index%20Rules%202007.pdf"><LINK_TEXT text="http://www.markit.com/information/affil ... 202007.pdf">http://www.markit.com/information/affiliat...

<t>Re: xiaopuCDS spread is the annualized premium you pay usually quarterly for investment grade CDS and semi annually for emergent market/high yield CDS.CDS price is the mark to market price when you do your valuation.To convert a spread to a price, you need to build a model. Say how to model survi...

A-rating coupon 44 is ABX not TABX.TABX are launched for BBB and BBB- ABX only.

<t>i worked there, we assumed the maturities are next IMM date (usually 20Mar, 20Jun, 20Sep and 20Dec of each year)+terms.Say today is 26Apr07 and you see a 5yr spread, the exact maturity is next IMM date (20Jun07) + 5yr. which should be 20Jun12 (if fall on non-business day, need to adjust for it). ...

<r>does this help?<URL url="http://www.markit.com/information/affiliations/itraxx/panelLinks1Paragraphs/0115/document/iTraxx.EUR.product.rules.pdf"><LINK_TEXT text="http://www.markit.com/information/affil ... .rules.pdf">http://www.markit.com/information/affiliations/itraxx/panelLinks1Paragraphs/011...

<r>here's the doc on how it's tradedhttp://<URL url="http://www.markit.com/information/affiliations/tabx/content2Paragraphs/02/document/TABX.HE.Marketing.Launch.pdfin"><LINK_TEXT text="www.markit.com/information/affiliations ... unch.pdfin">www.markit.com/information/affiliations/tabx/content2Paragr...

www.markit.com has composite tranche prices and deltas. but you have to pay for the data.

<r>For ABX, AAA, AA, A, BBB and BBB- are 5 tranches. Same as CMBX. This might help.<URL url="http://www.securitization.net/pdf/Nomura/SyntheticABS_7Mar06.pdfI"><LINK_TEXT text="http://www.securitization.net/pdf/Nomur ... Mar06.pdfI">http://www.securitization.net/pdf/Nomura/SyntheticABS_7Mar06.pdfI</...

<r><URL url="http://www.markit.com/magnoliaPublic/affiliations/cdx/panelLinks2Paragraphs/03/document/CDX%20Index%20Rules%20Sep%202005.pdf"><LINK_TEXT text="http://www.markit.com/magnoliaPublic/af ... 202005.pdf">http://www.markit.com/magnoliaPublic/affiliations/cdx/panelLinks2Paragraphs/03/document/...

Hasn't it been traded since this Jan?

I have an on-site interview with Model Risk/Valuation review in an IBank. I will meet manager in those two groups. Could any give some information which kind of Qs they will ask? Puzzles or my experience?I have only 1 year of relevant experience.Thanks a lot.Really appreciate it

Given two options, one is on 4 bonds, with 2 of them default. The other is on 8 bonds, with 4 of them default. Can anyone tell me which option priced higher, and why?Thank you so much.

What are the differences of local volatility, implied volatility and historical volatility?Thanks