I'd call it an advisory role that is not entirely orthogonal to my research agenda
Trading CDO/CLO tranches
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Rookie_Quant
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- Joined: Thu Jan 01, 2004 12:00 am
Trading CDO/CLO tranches
@Cheng
I'd call it an advisory role that is not entirely orthogonal to my research agenda
I'd call it an advisory role that is not entirely orthogonal to my research agenda
"Question: If you could live forever, would you and why? Answer: "I would not live forever, because we should not live forever, because if we were supposed to live forever, then we would live forever, but we cannot live forever, which is why I would not live forever," --Miss Alabama in the 1994 Miss USA contest.
"Whenever I watch TV and see those poor starving kids all over the world, I can't help but cry. I mean I'd love to be skinny like that, but not with all those flies and death and stuff." --Mariah Carey
"Your food stamps will be stopped effective March 1992 because we received notice that you passed away. May God bless you. You may reapply if there is a change in your circumstances." --Department of Social Services, Greenville, South Carolina
"Whenever I watch TV and see those poor starving kids all over the world, I can't help but cry. I mean I'd love to be skinny like that, but not with all those flies and death and stuff." --Mariah Carey
"Your food stamps will be stopped effective March 1992 because we received notice that you passed away. May God bless you. You may reapply if there is a change in your circumstances." --Department of Social Services, Greenville, South Carolina
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day1pnl
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- Joined: Thu Jan 01, 2004 12:00 am
Trading CDO/CLO tranches
@RQ did you get any closer to a solution to your problem and have you decided on the CDO vs CLO question?
@RQ+Cheng: On synthetics side we are using fairly well known models for both tranches and CDS and there is tradeable markets for both correlation, index and single names. In that sense synthetics are quite simple especially the pure CDSindex based tranches. I have renewed interest in understanding this CLOs / cash CDOs as a lot of ppl are active in the space. but find them to be somewhere between relatively extremely difficult to impossible to model and mark-to-market. CLO waterfalls have “hard” path dependcies, in addition to callability and unobservable single name markets. How do people get away with the modeling on sell-side? Is anything modeled there at all or are new tranches simply “priced” statistically off a tranche spread vs ratings curve in 2ndry mkts?
@RQ+Cheng: On synthetics side we are using fairly well known models for both tranches and CDS and there is tradeable markets for both correlation, index and single names. In that sense synthetics are quite simple especially the pure CDSindex based tranches. I have renewed interest in understanding this CLOs / cash CDOs as a lot of ppl are active in the space. but find them to be somewhere between relatively extremely difficult to impossible to model and mark-to-market. CLO waterfalls have “hard” path dependcies, in addition to callability and unobservable single name markets. How do people get away with the modeling on sell-side? Is anything modeled there at all or are new tranches simply “priced” statistically off a tranche spread vs ratings curve in 2ndry mkts?
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Cheng
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- Joined: Thu Jan 01, 2004 12:00 am
Trading CDO/CLO tranches
Trying to mark-to-market CLOs and generally structured cash stuff based on waterfall, single name spreads and - heaven forbid! - correlations is the highway to hell, fast lane. Best is to leave it alone.
Pricing is based on where the secondary market trades, based on ratings and structure (i.e. you build a pricing gird from US CLOs across ratings and tenors for example and interpolate or match your transaction). In the primary is it more or less what you can get away with imo.
Pricing is based on where the secondary market trades, based on ratings and structure (i.e. you build a pricing gird from US CLOs across ratings and tenors for example and interpolate or match your transaction). In the primary is it more or less what you can get away with imo.
"No trade with death / No trade with arms / Dispense the war / Learn from the past"