Proper way to calculate a total return time series for a CDS index from a protection seller perspective
Need to account for the following: rolls defaults, recoveries on the run series E.g. CDX NA IG
I need to get the IMM dates in excel. IMM dates are defined as the third Wednesday of every March/June/September/December.
Recently I have looked at some sovereign CDS spreads (of the Nordic countries to be precise) and have tested for cointegration in the levels (i.e. untransformed) and logs of the spreads. Tests ...
What is a standard credit default swap contract and where can I find spread data? What alternatives exist to judge creditworthiness?
I'm doing some work for a company and one of my tasks is to research credit default swaps on banks and to write a page about them explaining what they are and how they're used to evaluate the banks' ...
What is the connection between default probabilities calculated using the credit rating and the price of a CDS?
I'm working on a tool to price Credit Default Swaps. I've already done the standard pricing tools. I'm working on a pricing tool which uses the credit rating for the default probabilities used in the ...
I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem? ...
Where can I find the standard discount curves for the standard CDS model? In particular I'm keen to see if ZAR is a supported currency yet...
What is the market standard for pricing quanto CDS (i.e. CDS which pays the contingent leg in different currency than the pricing leg)?