<t>The point is that base correlation isn't a model; either in a financial sense or a probabilistic one. You can't even generate scenarios out of it. It is just a series of ad-hoc steps to arrive at a price. Starting with a model, which isn't even a model, and adding more parameters to it is only a ...

<t>Adding stochastic recovery to the Gaussian copula framework is not the solution. The model is still inconsistent and an open invitation to be arb'd. You still only treat one maturity at a time and don't take advantage of the full market information simultaneously which gives information about the...

Thanks tsquared. You have a PM.

Anyone?

<t>Hi,The index tranche for CDX HY is quoted as a cash price. What exactly does that mean? In other words, say I have a calibration procedure for synthetic CDOs and I have the PV of the premium leg for 1bps and the PV of the default leg, how do I calculate the cash price? I haven't seen any document...