Valuation and analysis of fixed income credit products

An Edinburgh based research company is interested in supervising a financial modelling project. This would involve the valuation and analysis of fixed income credit products - bonds and options. Current areas of research include reduced form models, high yield bond analysis and option valuation.

1. model applicability to multiple currencies/bond types (e.g. convertibles, high yield, investment grade)
2. model suitability for various derivative valuation types (CDO/CDO^2/CDS etc...)
3. historic model stability
4. risk model errors and their effects on credit model calibration

Ideally candidates will have a good mathematical background, some financial knowledge and good Excel or OOP. However strong technical skills are not a prerequisite and the key requirement would be enthusiasm and interest in the field.

Here are some papers that cover the possible project areas

• Merton's Model, Credit Risk, and Volatility Skews
  
• Markov Model for the Term Structure of Credit Risk Spreads
  
• Measuring term structures of defaultable bonds