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