Hi everybody, I would like to know how do you do, for CDOs / FTD pricing, when an equity correlation is NEGATIVE, because Cholesky decomposition does not work .....How do you adjust this paiwise equity correlation ?Thanks a lot.
Thank you very much for these explanations ;Last question : would you say that EDS implied correlation should be equal to CDOs or FTD implied correlation ?Because equity correlation is often higher than default (or spreads) correlation.....
Hi, does somebody got an idea of how it would be possible to price a First To Default on 5 Equity Default Swaps ??I guess it's not the same calculation of trigger probability as CDOs, because EDS are OTM puts....Any suggestions ?