<t>Hi Player,From what I gather based on your first message, I suppose you are using inverse gaussian distribution to build your model? – constant corr etc.I am actually in the processing of doing so – would be great to look at your model!Would it be possible to send me a copy of your Model?Many tha...

Hi Jetpac,Would you be kind enogh to share your model with us?Regards,

Thanks Jetpac,I did that and it works fine!Do have or know of paper that actually shows solving a typical example step by step manually? many thanks,

Hi There,Has anyone a copy of Moody's Correlated Binomial Default Distribution model or has built one using VBA. would be greatly appreciated if they share it me.Many thanks

Hi there,Has anyone built a pricing model using Normal inverse distribution in VB?Thanks

<t>Does anyone have the following publications or know where to get them. Please drop me a line.ThanksO’Kane D and Turnbull S, 2003 Valuation of credit default swaps Quantitative Credit Research Quarterly,Lehman Brothers, JuneO’Kane D, Pedersen C and Turnbull S, 2003Valuing the restructuring clause ...

Does anyone know where to get 7Year spreads for CDX and iTraxx (for each individual name in CDX and iTraxx)?thanks

thanks for your email. say we calculated the upfront for the below data, using Upfront = PV (Default Payments) - 500bps*RiskyPV01: we get 721bps for upfront. How do we change this to %?Reg,RunningSpread = 1221bpsRiskyPV01 = 13490 (PV of 1 bps)PV(Default Payments) = 16467472

I have been told that there are a few research papers (by Merill and Margan Stanly) on pricing 30-100% tranche. If anyone has these papers, it would be greatly appreciated if they could email them to me.Many thanks,

anna, who u refering to?

Thanks for your emails.A quick check - suppose we have:RunningSpread = 1221bpsRiskyPV01 = 13490 (PV of 1 bps)PV(Default Payments) = 16467472And want to work out and Upfront + 500bpsWhat upfront do you get?Many thanks

Thanks for your emails.A quick check - suppose we have:RunningSpread = 1221bpsRiskyPV01 = 13490 (PV of 1 bps)PV(Default Payments) = 16467472And want to work out and Upfront + 500bpsWhat upfront do you get?Many thanks

<t>I am not sure if you followed me.I m fine with my model it calculates all that and I can convert the spreads into upfront etc. But i want to change the upfront quoted on bloomberg for equity tranche to running spreads - we dont know what Risky PV01 and PV(Default Payments) were used to get 500bps...

<t>Thanks for your email.Do you know a sensible method for converting the 0-3% standard tranche upfront to running spreads.I can no longer use the pricing eqution sense i have many unknowns and only one equation. e.g. RunningSpread*RiskyPV01 + Upfront = PV(Default Payments)Now the only known paramet...

yes, thanks.