Market participants who are dealing with CDS Novations are required by the Fed to request via electronic platform instead of via emails from 1 Jan 2009.Which platform will your firm be using? DTCC or T Zero

<t>I understand that the market uses CDSW in Bloomberg for pricing single name CDS, e.g. for CDS trade unwind etc.My question is what is the recovery rate used in determining the $ value? It seems that the market practice is 40% for senior unsecured, and 25% for EM sovereigns. What about subordinate...

HiI understand that the market convention is to use 40% as the recovery rate for investment grade senior unsecured CDS for valuation. Why?Any idea on the recovery rate used for other CDS types, e.g. HY, Sub, T1 & Sov?Thanks

As these tranches are unrated, are they charged full capital deduction.. even for the senior tranches, e.g. 12-22%

Will be there a new credit derivatives definitions soon which allow for cash settlement of contracts such as CDS, CMCDS, FTD baskets?.. and even though some of the underlyings may not be index names?

<t>I'm talking to an Asian financial regulator on capital treatment for CPPI and CPDO that we are looking to put onto our banking book.Would like to do a survey on the regulatory capital treatment for CPPI and CPDO in the various jurisdiction.What kind of exposures are they classified as? It seems t...

do you mean the approach for base correlation term structure?Link

Does anyone have a softcopy and could share here?Would also appreciate handbooks from other IBs, particularly on the exotic stuff..Many Thanks

I think my version was by Jeff Meli.

<t>for the dynamics of the index spread, you can use a mean reverting diffusion process (with jumps?)the parameters affecting your simulated CPDO performance include 1) long-term mean spread2) mean-reversion speed2) curve roll-down 3) roll-over cost (bid-ask)defaults could be generated using the 6 m...

It is the simple EL mapping with a scaling factor for 'sticky prices'... I think grandularity of the portfolio could also be a factor.

become an academic. teach financial engineering courses?

SoS = Sum of Spreads of the credits in the basketwidest individual spread in the basket < FTD Spread < sum of spreads in the basket

QuoteOriginally posted by: Gmike2000What is the best/commonly accepted way of interpolating the default probabilities? Linear, stepwise? And why?The common practice is still to model hazard rates as a step function.

I don't have the article... was hoping some kind souls would post it here...