First to Default

PedroRaquel · October 17th, 2006, 9:40 am

Could someone pls recomend a good model for valuing Fist to Default Notes? It doesn't have to be a great model but one that could be useful for revaluations and indicative prices.Some papers on this kind of models would be nice too.Thanks,Pedro Raquel

mikeoz · October 20th, 2006, 12:16 pm

The standard model is the 1-factor Gaussian copula. This model can be used either in a semi-analytic form or via Monte Carlo.l You can look at1) David Li "On Default Correlation: A Copula Approach"2) Hull & White "Valuation of a CDO and a Nth to Default CDS Without Monte Carlo SimulationAlso, some books that discuss baskets are1) Bonfim "Understanding Credit Derivatives..."2) Felsenheimer et. al. "Active Credit Portfolio Management"

sportbilly · October 20th, 2006, 1:24 pm

You can also try using a one fator model with numerical integration which is generally faster than Gaussian copulas.A good book is Introduction to Credit Risk Modelling, Bluhm, Overbeck, Wagnerhttp://www.amazon.com/Introduction-Credit-Risk ... F8&s=books

PedroRaquel · October 23rd, 2006, 9:43 am

Thank you both for your help.

SierpinskyJanitor · October 23rd, 2006, 1:15 pm

Pedro Raquel ....!.... mais um tuga aqui no forum? Benvindo.

PedroRaquel · October 24th, 2006, 7:00 am

QuoteOriginally posted by: SierpinskyJanitorPedro Raquel ....!.... mais um tuga aqui no forum? Benvindo.Obrigado!

sportbilly · October 24th, 2006, 12:51 pm

Benvindo (embora ainda nao tenha muita autoridade para dar boas vindas ehehehe)

SierpinskyJanitor · October 30th, 2006, 8:22 pm

Entao e o que fazem os prezados conterraneos pelo Wilmott? Ha mais portuguese no forum, e seria simpatico combinar um jantar tuga, o que acham?

TraderJoe · October 31st, 2006, 12:58 am

QuoteOriginally posted by: SierpinskyJanitorEntao e o que fazem os prezados conterraneos pelo Wilmott? Ha mais portuguese no forum, e seria simpatico combinar um jantar tuga, o que acham?Hey Serpy, where you been ?

SierpinskyJanitor · November 2nd, 2006, 7:18 pm

just been looking for janitorial upgrades.... anyway, nice to hear from you TradingJoe, what´s up?

TraderJoe · November 2nd, 2006, 11:51 pm

QuoteOriginally posted by: SierpinskyJanitorjust been looking for janitorial upgrades.... anyway, nice to hear from you TradingJoe, what´s up?Same old, same old ...