I do not think this spreadsheet exists Can somebody please upload it so that people stop giving away their e-mails wanting to have this sheet. Thanks.

<t>Costenanu,on second reading i am a bit confused. It seems to me you are describing adjusting tranche detachment points according to the realized loss. That I do. What is the difference then between ss and mezzanine? Take a tranche with 12% as attachment and 22% as detachment. You still have to ac...

<t>Hi Costeanu,I see your point. So it is in fact consistent pricing of the ss tranche... No my model does not do that. But I still think this will not solve my problems if I continue to use Li's Gauss-Copula since the Copula can not account for extreme events to which the default prob distribution ...

MaxCohen,thanks for the paper and your reply. I will have a look. Are there some discussions on the forum regarding the topic? I searched but did not find anything about stochastics and Base Corrs. Thanks a lot.Gamal,it would be nice if you can upload the paper. Thanks a lot!

Gamal,that maybe but still people are quoting them hence using them right? What are the alternatives? Some papers?

<t>Hi,thanks for the answer. If you have a look at the quotes for the base correlations from the last months from most of the base corrs quoters you will see the same thing, that the base correlation for the super senior tranche is always 100%. I did not quite get your question. Did you mean that I ...

<t>Hi together!I have a question regarding bootstrapping of base correlation for the super senior tranche within the Gaußian One Factor Model. Why does the algorithm fails to find base correlation for the super senior tranche? I think there may be many reasons, either coming from the model (Gauß - l...

<t>Hi together,we have implemented the Bear Stearn PV Approach toward finding the base correlations (underlying model is One Factor Gauß Copula with no simplified assumptions). This worked just fine till about a month ago when we started getting a new shape for the base correlations for the iTRaxx w...

<t>QuoteOriginally posted by: DavidJNWhat is interesting about this is that there is a clear "chicken and egg" problem here. To estimate the Hull White model paramaters (short rate vol and mean reversion ) one needs to use the zero curve, but to correct the zero curve for futures convexity bias one ...

Hi,could you please give me some literature on the subject: Calibration of the HW convexity adjustment parameters. Thanks!

I would be glad to receive a copy draganka.tusheva at googlemail.comThanks a lot

<t>Hi together,I am interested in quanto adjust a foreign survival curve X_f(t,T) to turn into a domestic survival probability curve (say EUR): X(t,T). I found a nice article on the subject, written by Andersen in the book Credit Derivatives the definite guide.The approach is to multiply the surviva...

Hi,does someone have the same table but for the reverse process. Taking survival probabilities and finding the spreads from them. Thanks a lot.

Hi everyoneDoes anyone have this article D.Shelton Base Correlation.The term structure dimensionor maybe some other literature on the subject? Thanks a lot.

<t>Hi all,i wanted to understand the process of bootstrapping base correlations and not the main process itself, but some tiny details around it.I have the following data, quotedUpfrontsSpreadsTraded DeltasIndex ReferenceIndex QuoteThe indizesThe swap curveI have to use this data in order to be able...