<t>Is it possible to get equity credit for this structure from a rating agency. How can i change this to get so:H is a holding company (leveraged significantly)C is Operating Company (very good) H owns say 40% of CH is raising money by pledging shares of C. But it will only raise if somehow it gets ...

<t>In India, there is just one onshore funding curve MIBOR OIS curve. For all the IR products we use OIS curve as discounting curve and risk caculation. Everyone is ok with this practice and this is correct.For government bond book people are asking to change this discounting curve to Government bon...

@quantyst Y1 = X1-[X1]

Try using basu's theorem. I guess it should work. No paper n front of me. Basu theorem says complete and sufficient statistic is independent of ancillary statistic

<t>here is an interesting way to simulate correlated random numbers that I learnt recently from my boss. I thought I will share it. I had asked a question in interview about generating two correlated uniform random numbers and was expecting a standard answer. My boss told me a interestin way:1) I ge...

Do you want a metric on P&L analysis? I heard Morgan Stanley is doing a great job in it. If you have frens over there give them a buzz.

apply ito lemma to A(t) = M(t)/(1-int(0,t)M(s)ds) where M(t) = B(t)^2-t B(t) is brownian motion. Also find mean and variance of A(t)

apply ito lemma to A(t) = M(t)/(1-int(0,t)M(s)ds) where M(t) = B(t)^2-t B(t) is brownian motion

i encountered same problem before. i tried GADS toolbox. Pattern search works quite well. try it i hope it will work.

<t>its not that. I am trying to simulate how CDO evolves in future. For that i need to simulate CDS spreads. First i used just exp(OU) to simulate but the results were unexpected. Now I thought trying stochastic volatility. But could not get any literature on it? Even estimation for heston model is ...

Hey I want to model CDS spreads using exp(OU). But I want to use stochastic volatility. I searched on net but was not able to find any paper? any one knows any available literature to estimate the parameters

i have got chen scott paper(both of them mle & kalman filter). now i understand properly what multifactor cir model is. anyone has tried implementing any of the papers? i need some help. its going really messy

<t>i am not getting any material on google. But soem site suggests that in two factor CIR model we assume ito process for volatility. what are the parameters for ito process for volatility? For pricing zero coupon bond using two factor CIR do we have some simplified approach or we use brute force mo...

can any one post literature on two factor CIR model. i have to estimate parameters for LIBOR and then price treasury bonds. Its extremely urgent.

<t>first time i am implemnting this algorithm for small basket. my basket size is 20. This is not a CDO but a similar setup. first i need to find factor. But in my case M<5 doesnot work as some diagonal element of CC' are more than 1. So i choose M=5Now i have to perform 6 dimensional numerical inte...