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CDO junior structurer

justaname

Joined
9/30/11
Messages
2
Points
11
Hi all,

Was hoping that any one could help me understand what a junior structurer will do in the CDO/ABS world nowadays given the credit crisis. I don't have any interviews yet, but there's a chance that I might be able to get one, so I was also wondering what they would expect me to know about pricing cdo tranches during the interview; should I just know c++ and vba and the essentials of stoch. calc or should I go into the interview guns blazing talking about how I've structured cdos before (note that this is something I haven't done, so I would need to find papers to try to replicate or what not). Given that I don't have a MFE, but I did an Op. Research. Eng. undergrad major and learned the basics of c++ / stoch. calc on my own, how would this change?
 
you will need to know how correlation, recovery rate, copula type affect the spreads of the different tranches of the cdos and the spread of nth to default basket
a good read is the msc thesis of stefano S galiani
 
Hey guys. Thanks for the responses and the list of papers. Sorry about the delay, I was out of the country and not looking at this forum.

I have a few more quick questions now that I had the chance to read through some stuff.

1) It seems like there's a good deal of modeling going on to price individual tranches in research, but it seems in practice you put together a whole cdo and just buy up a bunch of debt for your cdo (looking at cash flow cdos now). I feel like I'm missing something. In a bank, are there pricing quants that do the models to price the tranches and the investment bankers who manage the cdo once it's been priced? If so, who makes more money (I'd rather be former no matter what but I'm just curious). Also are the pricing quants more active or equally active for stcdos and general cdos.

2) I recall seeing a paper that went into discussing the gauss hermite procedure for calculating the unconditional lost distribution. I'm on my phone at work so I'll be searching through the list of papers to find it again, but would appreciate it if anyone could tell me if you know the title/author off the top of your head. Is doing this generally preferred over Monte Carlo for pricing tranches?

3) does anyone have knowledge of the general timeline from start to finish of pricing and structuring cdos for this type of job?

Thanks in advance!
 
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