Base correlations model (JP Morgan)

monygel · May 10th, 2004, 4:25 pm

Hi, I am looking for the technical document of the JP Morgan's "base correlations" model. I've already read the qualitative paper and I found it very interesting! Thanks for your responses

yes · May 10th, 2004, 5:03 pm

M did you search the forums?

Oinker · May 11th, 2004, 2:09 am

monygel,Where can we find a copy of the paper you currently have?

leemcg · May 11th, 2004, 6:45 am

I think everything you will need is in the main thread. It's called "Base Correlations Curve for CDO's", and it has currently just fallen to the second page as I look at things. There are papers and models in that thread.RegardsLee

monygel · May 11th, 2004, 9:53 am

Thanks LEE! That's what I need!

monygel · May 11th, 2004, 9:58 am

Oinker, You can find it in the "Base Correlations Curve for CDO's" thread. It is called Base CorrelationJPM.zip and was sent by quantman.