MorganStanley's Synthetic CDO pricer

J · May 13th, 2005, 9:22 pm

Hi CDSM in Bloomberg uses MorganStanley's model. Is there anyone knowing what methodology MorganStanley uses?

yes · May 16th, 2005, 8:04 am

If u can access a Bloomberg terminal u can dwnld a "white paper" (go to the "related litterature" item in the cdsm help menu)Y.

creditderivative · May 16th, 2005, 10:05 am

Hi,Unfortunately I don't have access to Bloomberg. Could anyone please upload the white paper on the Forum? Cheers.CD

erstwhile · May 16th, 2005, 11:08 am

Guys: in a nutshell it is totally plain vanilla standard run-of-the-mill gaussian copula. You will learn more from looking around wilmott.com or defaultrisk.com than from reading the white paper.

krot · May 16th, 2005, 11:25 am

In my experience, the function was not that useful - you have to specify yourself either the tranche correlation or both base correlations for your custom portfolio. I feel that the trick is in KNOWING those values, rather than doing the discounting. And I agree, it's just a standard gaussian copula.