Serving the Quantitative Finance Community
Tranched Credit Indices and Nth to Default Including Spread Volatility
QuoteOriginally posted by: erstwhileThanks for posting this. My only worry is that structural models are very, very far from reality to begin with, so an abstraction of a structural model seems even more removed from real life. I don't mean to dismiss the work of these eminent people - what they are doing is interesting and useful. I don't know the best model, but when I see it, it will smell a lot better than models i have seen so far!Do you you think the way forward is to incorporate a default LIBOR type model to take into account the spread dynamics?