(urgent) pricing bespoke tranches of cdo

Money · October 30th, 2005, 12:00 pm

come on folks ... any paper on cutting edge credit derivatives ?especially by Lehamn Quantitative credit research, I don't have access anymore !!!!I need more papers on mapping technology, hybrids modeling, also credit conference slides... etc.FYI, there are lot of free stuff by Nomura on web, try google

rogers · October 30th, 2005, 2:02 pm

QuoteOriginally posted by: Moneycome on folks ... any paper on cutting edge credit derivatives ?especially by Lehamn Quantitative credit research, I don't have access anymore !!!!I need more papers on mapping technology, hybrids modeling, also credit conference slides... etc.FYI, there are lot of free stuff by Nomura on web, try googlemoney, for Lehman Brothers stuff, you have to pray.

cg · July 19th, 2006, 10:55 am

Does anyone have an electronic copy of:McGinty, L & Ahluwalia, R (2004) A Relative Value Framework for Credit Correlation that they could post on here? Doesn't appear to be available on the web.

ljcao · August 16th, 2006, 2:48 am

assuming that i am a novice answer the following question?What do u mean by price over here? write down the explicit form of it?premium is fair spread of tranche?can any one explain me how to go about pricing( ie finding fair spread of tranche) by base correlation in layman terms if i am able to price tranches given implied correlation?Here, I think the price == premimum.