Can anybody explain how to calculate the Jump to default risk in a CDO? Thanks, CH

the ml and jpm paperMoney: once you should also contribute something!

Have a look at the paper from ML: Base correlation and bayond. You can see there that linear (inter)extrapolation is not a good idea because for example in the iTraxx case the base correlation below 3% is quite flat. Also have a look at the JPM Credit Derivatives page concerning Tranchelets.

Hi!Can anybody recomend an article which describes the calculation of Delta, Gamma, Jump to Default, .. for CDOsThanks, CH

<t>Hi player, S&P tool is called S&P Evaluator and I think you can download it from their page. The problem is that rating tools from S&P/MOOdys will not give you the loss distribution of our tranche but of your portfolio but in most case just in a very crude way (graphical form). Furthe...

Maybe, Recovery Rates = 100%, then our expected loss = 0 at all coupon dates and the risky PVBP = Riskless PVBP

<t>I was implementing this algorithm for building up a loss distribution in MatLab . In the case where all assets have the same LGDs one can implement the whole thing quite efficiently, i.e. You build up a matrix with n+1 columns (one for each asset which can default and the first column for zero de...

Let us know how our results are!

There is a paper by a guy from BNP which deals with dynamic copulas, at least it say so in the abstract. DefaultRisk: Dynamic Copula Processes: A new way of modelling CDO tranches

Mark:Here is the paper by the ML guys.

thanks! With most names we made the experience that you just get the 5Y quote and when we compare them with the quotes we get from the investment banks they are not very good. (Markit Partners would be a expensive solution)Cheers, Ch

<t>Ok, I will check, but I did not use the the pgf. I just integrated twice which basically happens in two loops. First: Bs=0 and then building up the loss distribution (including integrating out the common factor V) the same for B=1. Then I basically have two distributions which I weight with the p...

Does anybody know a broker site which provides a CDS term structure (1y-7y) ??Thanks, Ch