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Amandine
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Joined: August 30th, 2007, 8:38 am

LCDX pricing

March 5th, 2008, 5:22 pm

HI,I was wondering if anyone had any recent paper on LCDX tranche pricing or worked on this. I am using MarkIT data and a standard Gaussian Copula model for index pricing making some simple readjustment for the 15-100 Risky annuity for the cancellation risk ,a recovery rate of 65%, and a flat CDs curve but I find it difficult to calibrate my model.So I would like to know what is the standard pricing used in the market.Thanks Amandine
 
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cksh2005
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Joined: December 13th, 2005, 10:59 pm

LCDX pricing

May 17th, 2008, 2:35 am