<t>Hi Wibble,I actually have Gibson's LPM (Large Homogenous Pool) set up in a spreadsheet somwhere using the Gaussian copula. I'd like to transform this to a Student t copula.However, I don't think it's as straightforward as substituting NORMSINV() and NORMSDIST() with their corresponding T function...

<t>Hi,I'm curious to set up the recursion-based model for a STCDO descibed by Andersen, et al (heterogeneous portfolio) and Gibson (homogeneous portfolio) using a Student t copula instead of the Gaussian copula and I had the following questions:1. Can anyone suggest a place where I can find a good a...

That's odd, DarkQuant. I could match Gibson's conditional probabilities exactly, but not his unconditional probabilities. There is something funny going on with the way he normalizes the factor density before he integrates the factor out of the distribution.

<t>To cut a long story short: no.There is no correlation risk on a CDO that is tranched at 0% - 100%. This is because the NPV of such a CDO is simply the sum of the NPVs of the underlying default swaps. Since everything in the portfolio is being protected in one shot, there is no correlation risk as...

As of today,Gen Mtrs - XR - 946.56bpsGen Mtrs Accep Corp - MR - 299.71bpsFord Mtr Corp - MR - 967.43bpsFord Mtr Credit Corp - MR - 535.22bpsAnyone who's short Ford single-names over the last two weeks must be laughing their way to the bank. No pun intended.

Hi,By long and short, do you mean that you have a basket of credits and on some you're selling protection and on others you are buying protection? How exactly would the tranching of something like this work?Could you provide some more details?Thanks.

<t>For all NPers reading this, I do realize that this is a dual post. Apologies in advance.Hi,Assume that I have a forward settling single-name CDS on an issuer that has a 'flat' credit curve, of say 60bps at all the various par points between 6M and 30Y.If the trade is a 5 year CDS that starts in 3...

<t>Hello,I was wondering if there was anything as a 'market standard' model for CMCDS pricing, analogous to the JP Morgan model for single-name CDS. At first glance, CMCDS does look fairly straightforward, as the only difference here is that the premium leg rate is being reset at the payment frequen...

Yep, correct on both points - should be in the brainteaser forum (sorry!) and it is indeed the Gamma function. According to my anonymous quant friend, a large number of prospective candidates stumble on this question.

According to a quant friend of mine anyway What is the factorial of 3.5?

<t>QuoteOriginally posted by: AaronA 10-year option with 10,000 steps, assuming we're just talking about the error from discretization. Obviously, the longer term security has larger error from things like parameter uncertainty and drift.To a first approximation, the percentage error introduced by d...

<t>QuoteOriginally posted by: APrendergastYes, the original problem still remains unsolved; all I meant was at least I understand what's happening now. (See, the original code behind the sheet, which I didn't write, had a fixed seed, so returned the same value every time. When my code didn't, I got ...

<t>MrHappy,I'd just like to point out that genkideska's comments refer to the Monte-Carlo based for pricing a synthetic CDO and not specifically to the Gaussian Copula itself. Just so that you understand, the purpose of the copula is to compute correlated default probabilities for each entity in the...

<t>I have a problem getting my head around the following 'fact' regarding an American option: that it never makes sense to exercise the option before expiry if the underlying asset pays a dividend.My thoughts:1. I can understand this argument if an option that is at-the-money is exercised after a di...

Hi Wibble, the payments are not in arrears.