The idea behind is not a cooperation/cooptition btw p2p and banks but a threat for regulated financial system. More importantly, Blockchains (and/or HyperLedger "umbrella for open source BCs) are not only for monetary issues, their future lies on information sharing/sending/keeping. It's better...

First, I'm assuming you are asking about default probabilities for the constituent loans, not the default probability of the entire portfolio as an entity. You could construct a simple model that incorporates: 1) the duration of legal or administrative processes by which non-performing loans are fo...

A very simple question with very fuzzy (i guess) answers. Any chance to derive df Probability over NPL ratio of a loan portfolio?

Well said. A haute-couture contract can't be made cos all parties demand a CLN type structure. Any idea to replicate a CLN, using a bundle of commercial credit as reference obligation and a discount bond as underlying debt?

<t>Actually reference exists for so called CDS but i suppose a determination committee (DC) is required by this trade. If two CTPs determines the spread on this transaction, what is DC's role and how will they admit the whole process? Do you think Party A and B can set a dummy (meaningful) spread at...

<t>Reference entity/obligation is not a bond but a commercial loan (where this loan do not have a market to mark). All i want to learn is, is it possible to replicate a CreditLinkedNote by using such a loan's default risk. There are no markets, no CDS level, no tradable security for reference loan, ...

Good day guys,Is it possible to generate a CDS contract for an off-market underlying? Say, the reference entity/obligation is a commercial credit on Assets of a Bank. Plan is setting up a CLN where both the seller and the buyer are available.All notable answers are welcomed.

gracias senor..

Thanks Bearish,Then what about the old rough approximation below? Is that a junk assumption?Spread / (1 - RR) = PD%

Simply I ask:How can i calculate the risky annuity component in CDS pricing ? Is that simply the sum of discounted survival rates in time ? Does it suppose to converge to 1 finally ?Thx in advance,R

what are you looking for in detail ?

Hi all,Truely, i didn't get the idea your're talking. AFIK, BBG calculation for breakevens (for both swaps and bonds) is roughly the difference between assets, a.k.a. Fisher equation (roughly again i say).What is your argument please ?Thanks,R

good communication brings output.We are trying to revitalize the FTP of our bank's by adjusting on credit risk factors.Do you know any good paper/material for FTP calibration/construction ?best,R

<t>No.Simply, an upward sloping yield curve does not mention short rates will tend to go higher soon. Thus, implied forwards refer the way that are going to be, which the slope magnitude determines it ultimately.Carry trade notion just cares about the two seperate ccy's return for the same tennor of...

roll down analysis assumes the curve will survive constant,so a fixed income trader just sums the two numbers up (carry + r/d) to obtain a locked profit in a long bond position.you do this if only your cost of carry is safe and sound in your position time horizon.R