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seen Sep 9 at 3:15

Sep
8
awarded  Benefactor
Sep
8
comment Different interim balances when calculating annual compound interest different ways
Exactly what I was looking for, thanks. Also, my use of "variance" is the jargon for my industry, although I understand where you're coming from.
Sep
4
awarded  Promoter
Sep
1
asked Different interim balances when calculating annual compound interest different ways
Jul
26
awarded  Yearling
Dec
29
revised Compare fund managers with insignificant alphas?
added 8 characters in body
Dec
29
answered Compare fund managers with insignificant alphas?
Dec
9
comment Securitization of a loan portfolio
Not offhand, in my opinion you're better off looking for industry primers based on the specific securitizations that have been brought to market. Just googling around for <insert i-bank in that market> clo/cmbs/etc. primer should yield some results.
Dec
9
answered Securitization of a loan portfolio
Dec
6
comment Single Most Important Fact about a Fund - Interview Question
Is this a ponzi scheme?
Dec
5
comment When did volatilities start to smile in capital markets?
I imagine it was always there, that was just when it became apparent current models didn't account for it.
Dec
5
comment Securitization of a loan portfolio
Yes. Tranching isn't as simple "slicing up" assets, unless you're just asking if higher tranches in the bond are safer because they have higher ratings, better collateral, and typically larger balances. Then the answer is yes. Otherwise, are any tranches pari-passau, what kind of waterfall is there(pro-rata, straight, etc.), are they grouped, subordination levels, etc.
Dec
4
revised Securitization of a loan portfolio
edited title
Dec
4
comment Securitization of a loan portfolio
You never described the tranches, nobody will be able to give you a decent answer until you do.
Nov
27
answered moody's credit ratings for senior unsecured bonds
Oct
22
comment Valuation of Mortgage Backed floating notes
Are you valuing commercial or residential backed securities?
Oct
7
comment Obtaining the default probability and recovery rate for each credit rating?
Also, you have the relationship in the wrong direction. The rating, in addition to many other factors, is based on the probabilities of default, etc. not the other way around. The company will be downgraded far down the scale before the event happens, so a current(good) rating won't tell you much on default probability or loss given default.
Oct
7
comment Obtaining the default probability and recovery rate for each credit rating?
I think you need to greatly narrow the scope of your question - as it stands you're asking for a textbook. There are many credit ratings providers, and they aren't equal nor are their ratings quantitative. "Each" credit rating entails 61 ratings if you're only talking about Fitch/Moodys/S&P.
Oct
3
comment Does it make sense to apply complicated mathematics to calculate with precision when the margin of error is +/-10%?
I think it's more appropriate for a meta discussion, and there is lack of a clear question(what particular margin of error is comfortable for a given calculation and how to arrive at it, etc.). But I'd say it's certainly a problem many of us face in our work.
Sep
28
comment Adjusted option prices?
To get a proper IV you would need the underlying price at the time the option traded.