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3
votes
1answer
78 views

When do CDS curves yield arbitrage opportunities?

In CDS markets we can sometimes observe inverted CDS curves or unusually steep curves. I am just wondering at what level certain curves become non-realistic. E.g. if we have 500bp for the 1-Year ...
2
votes
1answer
59 views

How to estimate CVA by valuing a CDS of the counterparty?

I'm trying to estimate CVA of one of my derivatives by valuing a credit default swap (CDS) of my counterparty. However, I don't know how to set up the CDS deal (notional amount, maturity, etc.). ...
4
votes
0answers
195 views

A model to stochastic hazard rate and CDS spread term structure

I'm interested in the term structure of CDS spread. It's known that the Market CDS rate (fair CDS spread or T-maturity spread) of a CDS contract initiated at $s$, maturity $T$ and recovery function ...
3
votes
0answers
28 views

Basket Default Swap (BDS)

I would like to understand better the $n^{th}$ to default pair spreads of a basket default swap containing $m>n$ entities. For example, consider 2 single name CDS's with same spread and same ...
0
votes
0answers
17 views

CDS credit spreads vs default probability

What is the relationship between a CDS credit spread (as set by the CDS issuer) and the instantaneous default probability (as estimated by the CDS issuer)? I hear they are similar but not the same. ...
0
votes
0answers
33 views

How to calculate Probability of Default from Survival Probability

I would calculate Probability of Default from Survival Probability. I want to know how they are related. This is how I think they are related: ...