Monthly Archives: December 2007

The Virtue of Lunch with Friends

I really enjoyed being an investment grade corporate bond manager.  I enjoyed interacting with credit analysts and sales coverages, and the hurly-burly of price discovery in markets that were thinner than optimal.  My credit analysts were professionals, and I never went against them; at most, I would explain to them why market technicals favored a […]

Crunchy Credit

My head feels like mush.  I have been struggling over creating a CDO pricing model with the following features: A knockoff of the KMV model, using equity market-oriented variables to price credit. Uncorrelated reduced discrepancy point sets for the random number generator. A regime-switching boom-bust cycle for credit Differing default intensities for trust preferred securities […]