Re my post above, it does indeed look like they quote "equivalent" running spread which you have to convert to equivalent upfront quotes if you want any hope of finding someone to trade with. So it does make sense what they quote, it is just a matter of convention

<t>It could be that the upfront quote was mapped into an equivalent running spread, think this happens once in a while internally here. Ie, on a running basis i am promised 190%. However, if i think that GM will only last, say, 1 month, I only accrue 15% coupons. Suppose the duration of the CDS was ...

Not being entirely unbiased, I wrote a paper about this some years back with a friend of mine: Reforming Housing Finance: Perspectives from DenmarkIn the piece we address in some detail the fourth point of Soros - the ability to trade out of your mortgage at market price and not simply par.

In my prior life in academia I fudged with a model for the default of Fannie+Freddie, valuing the fact that everybody knew they would get bailed out if something went wrong. Seemed slighly irrelevant then.. times change. paper here

<t>Three points1) CPDOs have more space in the financial press than their size allows. They are not the reason for why the roll acts as it does. Further (as commented on above), CPDOs will be selling protection in the new index and buying protection in the old. This will cause the new index to tight...

I think Commerzbank offers zero-coupon equity tranches based on iTraxx 5 yr... not sure if thats what you had in mind.

<t>Hi there, looking for some advice for an interview which is "just a quiet talk."I am finishing a pure finance phd and I have been invited to a us i-bank in London to talk about a position. The guy who invited me is a friend of my advisor and he has often given me advice on my papers (credit stuff...

You can get the Finger paper from SSRNhttp://papers.ssrn.com/sol3/papers.cfm?abstract_id=643267Give it a read, it's worth your time

<t>You are not alone, this is also discussed in Finger (2005) 'Issues in the Pricing of Synthetic CDOs' where differences in deltas up to a factor of 3 are found. In this paper, work by St. Pierre et al. is referenced where a comparison of hedging performance based on the two types of correlation is...

<t>A simple question that probably has many not-so-simple answers:I finish my PhD in December and I started looking into working in London. When is the appropriate time to start sending my cv to recruiters with relevant jobs? Example, for a job posted here in March, will they even consider a potenti...

<r>Word of advice, "A correction note on the first passage time of an Ornstein-Ulhenbeck process to a boundary"has an error in the expression for the passage time density if your boundary <> 0. If you try to plug it into excel and do a fast numerical integration you will be lucky if it integrates to...