I am looking for the paper by Gregory and Laurent:"I Will Survive" in the June 2003 issue of Risk.If you have it and would not mind posting it I would be very appreciative.Thanks!

What is the current market standard for pricing options on defaultable bonds and credit default swaptions? Also are there any new models floating around that, while not widely used, seem promising? Any references you may have would be appreciated. Thanks.

<t>I have had very good success with the ASB approach. My model matches up very closely/excatly to dealer quotes and CDSM on Bloomberg. I agree the ASB/HW Approach B are preferable to HW Approach A, but I am not seeing an easy way to utilitze the recursion for pricing a Nth to Default on a heterogen...

<t>Jennifer,Unfortunately, my model is setup right now to extract iintensities from CDS spreads and the yield curve directly from BBG. If I get the opportunity in the next couple of days I will try to strip this out and price according to the Hull parameters. I will let you know if experience the sa...

<t>Jennifer,What are you using for the implementation? Also, what CDS spreads/recoveries/maturity are you using? I just recently finished implementing (in MATLAB) a modified version that allows for heterogeneous portfolios. While I have not run extensive tests, it appears to be within a few (<3) bps...

<t>Quoteeven one call leads to unacceptable calculation time. Define unacceptable? Maybe I am enjoying the benefits of MATLAB's speed on matrix computations, but my code can price a heterogenous 125 name portfolio in less than 3 seconds... what do you mean by "cluster the underlyings"? I perform the...

Are you performing the integration before or after the recursion step? I more or less followed ASB, but I definitely had to reorder the steps in the computation. I compute the integral in the very last step and it speeds things up dramatically (in MATLAB at least).

<t>Duin,I think you are misreading something. The settlement on default is (1-Recovery). The "strip" corresponding to the defaulted company is removed (thus the drop in notional) and the rest of the structure remains intact with n-1 names. More recently dealers have started offering zero recovery an...

multi-strategy hedge funds?

You can't. That is why you have to use your model (or CDSM).

Your CDO model should allow you to calculate Risky PV01 and PV(Default Payments). If it doesn't focus your time and energy on uderstanding how to calculate them and build a model that does. Through this process the rest should become more clear.

Follow the ASB paper - it is essentially the same implementation and easier to read. I used Matlab and it was pretty straight forward.

That is a lame answer... I agree totally with gjlipman

Correct... and your present CDO model is apparently telling you PV (Default Payments) = 1500bps*RiskyPV01

<t>It is a pricing equation... The LHS muust equal the RHS. The RHS is unaffected by how the contract is priced. The LHS has two degrees of freedom... if you fix one then you define the other. In the all running pricing convention you "fix" the upfront to 0% and back out the spread. In the upfront p...