<t>Yup. That's what I thought so too. However, if I compare the results of the 2 averaging methods with the Hull White's pricing of CDO without monte carlo or Gibson's paper, the averaging loss has a closer result as compared to the averaging of spreads method. This makes sense too as averaging the ...

<t>Hi,Just a very basic question. For a monte carlo simulation to find out the par spread of a cdo tranche, do I average out the losses, get a expected loss and then calculate par spread, or calculate a large number of par spreads and average them out. Also, some explanation will be good too Thanks....

QuoteOriginally posted by: ronwiseTHe best way is to look at MJ's book on C++Hi,What's the title of the book?

<r>Hi,I've built a Guassian copula model based on Gibson's "Understanding the risk of synthetic CDOs" and Hull & Whites' "Valuation of a CDO and an nth to default CDS without monte carlo simulation" and my results match the results given in the paper. However, when I tried calibrating my model t...

Check this out http://www.kood.org/terminal-server-patch/It allows multiple simultaneous remote desktop sessions

<t>Hi all, I've been reading this board for quite some time, and have gained quite a lot of knowledge. I'm a Singaporean with a bachelor in computing, and have a Masters in Financial Engineering from NUS. I've tried finding quant jobs in the typical local banks and IBs for quite a few months, but I'...

Thanks for the replies. I do know that 1 year VaR does not make much sense, but this is what is required of me.

<t>Hi,Any of you have any experience or tips on calculating long term VaR, say for a horizon of 1 year? A simpler rule is to calculate 1day VaR and extrapolate it by multiplying it by the square root of time. However, I've read a few papers that say this is not valid, and this rule might lead to a o...