Could you send the presentations to jennifer.luo@morganstanley.com?Thanks a lot.

<t>Thanks for your answers.madmax's answer is contrary to what I thought. And Monte Carlo results using adjusted notional are off Hull White's Analytical Copula model. For RedAlert, what I'm trying to understand is the pricing mechanism you originally paid when you bought this 2nd to default (Monte ...

<t>I have a question about nth to default CDS that I'm not clear. Say for 2nd to default CDS, after 1 default, how do we pay the premium fee? Do we adjust the total notional to exclude that name? Or we still pay based on the notional from the beginning?I looked for various reference, they don't say ...

<t>I have a question about nth to default CDS that I'm not clear. Say for 2nd to default CDS, after 1 default, how do we pay the premium fee? Do we adjust the total notional to exclude that name? Or we still pay based on the notional from the beginning?I looked for various reference, they don't say ...

<t>I have a question about nth to default CDS that I'm not clear. Say for 2nd to default CDS, after 1 default, how do we pay the premium fee? Do we adjust the total notional to exclude that name? Or we still pay based on the notional from the beginning?I looked for various reference, they don't say ...

This is the most complete and useful post I've ever seen for career type. Thanks jfuqua.

<t>QuoteOriginally posted by: creditderivativeHi,I think we should agree on what fungible (cross) subordination means.How I see it, in a simple example. Ass. 70m loss for the CDO1 portfolio. Given CDO1's 50m attachment point this would imply that 20m are transfer to CDO1 level. Also ass. less than 5...

<t>Jonathan, Thanks a lot for your reply. But I don't quite get it. what's your p(t|V), what's a and b? I really appreicate it if you may give some more detail. Nice day.JenQuoteOriginally posted by: Jonathan81In fact in Hull White for double t you are not need to have inverse of double t distributi...

For the double t distribution in Hull's Valuation of a CDO and an n-th to default CDS without Monte Carlo simulation. Any idea of computing the inverse of double t? Cornish Fisher or other methods?Thanks. Jen

Thanks a lot. I'll try it. Jen

Anyone may recommend a routine to compute inverse of t distribution? I find a MATLAB routine, however it uses betainc which is not supported in C. Thanks.Jen

Did you zip it? It must be a zipped file to upload. PS: could you send me a copy of that paper to jennifer_lwj@hotmail.com. Thanks.

Andrew,So, can you replicate result EX8. first and second column (which reduces to Gaussian Copula)?Thanks.

<t>Andrew,I agreed with points (1) and (2). But in your implementation, you fetch the P_star inside the k-loop, and after you update the probability and the mean, P_star changed also. Should P_star refers to the probability for each bucket k, before we add the new name? For j = 0 To (nAssets - 1) De...

<t>Thank you aharvey. I looked at your code, but not in very detail. For k = 0 To (nBuckets - 1) UK = FindUK(A(k) + Lj, k, Upper, Lower) Pstar = P(k) PUKstar = P(UK) Astar = A(k) AUKstar = A(UK)Should that Pstar, PUKstar outside of the loop? That is, you'll need to store the Prob and mean before the...