Can anyone share any light on this topic?I understand the hedging of a MTM trigger LSS - but a Loss Trigger LSS seems to be a totally different ball game.

This is an appauling tool. It doest keep upto date with the latest rating agency models and takess too long to run. Why do you ask

<t>from OGDRED Below "For example, on Itraxx the super-senior absorbs losses on defaults from 22 to 100 percent of notional." But remember - you have to take into account the recovery of the defaulted names. Assuming a recovery of 40% the Super Senior tranche would only get paid on the 22-60% piece....

Gill .. agree .. i would not adjust my hedge for a small MTM change ... if i did i would use up all my P&L .....

<t>Gill -- agree .. but depending on the type of institution you work for (pure investment bank or investment banking arm of a commercial bank) the risk appetite will differ significantly. Bottom line - when you actually run varying scenarios on this for, let's say MTM triggers, you have to take int...

<t>Just out of curiosity - what are you currently doing? In my opinion there is no substitute for front office experience. MBA's are for muppets - dont even think about them!!! When i interview candidates for positions i look for experience first and then a quantitative post graduate degrees. But th...

one of the biggest risks you have in LSS trades is the correlated jump to default of names. To hedge this you generally buy protection on the lower tranches. On a bespoke basis you would be axed on the portfolio for all of the lower tranches to hedge you correlation.

This is used when you have your Base Correlations. (I.e. zero to attach and zero to detach - in other words two equity tranche correlations). This is an alternative to using the tranche impled correlation (which you can also do on BBG)

This may help

Please see attached file

Have been away so am sorry did not post or reply to the guys who requested - do you still need it?

Has anyone managed to get the white paper on this - Vladamir, Jakob, Leif - if you can share this

send me your e-mail address and i will send this to you

Could i please get this doc as well. Thanks in advance

I have heard that some shops are moving away from the base correlation methodolgy fro pricing STCDOs and are moving more towards a Loss surface methodology - can anyone enlighten me further on this - comment / papers requried pls. Thanks