<r>Please if anyone has this paper could they post it here.Hutchinson D. et Pennacchi G. : "Measuring rents and interest rate risk inimperfect financial markets : the case of retail bank deposits", Journal ofFinancial and Quantitative analysis, 31, 1996,Or alternatively email me on <EMAIL email="sjg...

Yes the 500bps is stopped when the tranche is wiped out.The 500bps is only paid on the remaining principal of the tranche.

<t>Yes the tranche notional is 3% of the 1 billion and 38% of that is 11.4million.Does anyone have any comments upon the my results?via Merton style model:0-3% 1590bps3-10% 320bps10-100% 7.5bpsvia Li Intensity model:0-3% 1556bps3-10% 319bps10-100% 6.2bpsThe results in Gibson's paper are:0-3% 1507bps...

Look at options called paylater options. Now you pay nothing and only at maturity is a payment made. The option is set up now that the value is zero but it can be positive or negative at maturity.

<t>I have tried to emulate Gibson's results (2004) and get the following results (for 200,000 simulations - thus these are pretty stable):via Merton style model:0-3% = 1590bps3-10% = 320bps10-100% = 7.5bps0-100% = 59.7bpsvia Li Intensity model:0-3% = 1556bps3-10% = 319bps10-100% = 6.2bps0-100% = 59....

Double Post

<t>renikus1.Does the 500bps decrease with the tranche notional? I believe the 500bps is fixed.2.And why would the quoted upfront % decrease with losses? If the tranche is more likely to get hit, intuitively it should stay the same or increase if anything?The quoted upfront should increase with losse...

<t>I remember seeing that Gap options could take on negative values.They have two strike prices so the payoff can be negative. At one strike price the option is exercised but the other one is used in calculation of the payoff.For example:(Call example)S1 = 50 (exercise threshold)S2 = 57 (strike used...

Please could someone upload this paper as I cannot find it on the net anywhere.Andersen's 'All Your Hedges in One Basket' Or alternatively email me at:fouriertransform1@yahoo.comMany thanks

<t>Waiter do you know of any papers that cover Risky Duration? I've tried searching but haven't found much. When you say factor what is this please? Sorry if the question is very simple but I am new to CDOs.I have tried to emulate Gibson's results (2004) and get the following results (for 200,000 si...

Thanks slym,The next question is then how do I calculate risky duration?

<t>Quote3) OK, for an equity or first loss tranche it is quoted as a % upfront +500 bps running. In other words you pay/receive a % of the amount invested + 500 bps paid till maturity. Ie. you invest 10mm into a 0-3 tranche that is quoted at 40% / 42% +500 bos you will get 4mm upfront and then recei...

<t>Thanks joshblak and schizoidman.So random recovery rates don't work very well then in producing the correlation smile. Is this a limitation of the Gaussian copula and not the recovery rates though. If the stochastic recovery rates were applied to an Archimedian copula for example would they be of...

<t>I am investigating the effect of Stochastic Recovery Rates in evaluating CDO tranches. I can't seem to find much literature available on the subject, but I did find an article was in The Journal of Fixed Income which I cannot access. The details are:Implications of Stochastic Recovery Rates in Ev...

Interesting section in IOP magazine about alternative gravity theories like TeVes:http://physicsweb.org/articles/world/19/6/5/1With a new theory of gravity there is no need for dark matter.