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Market Risk VaR takes one year of history. Thus you wouldn't look 5-10 years of history. If you are using CDS prices only for pricing CDSs you don't need to, but if you have another model that takes CDS prices and links them to bonds, yes You don't need PCA. You can take quotes on CDSs closest to each term node, but you need to roll them to adjust for ...


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Markit Pricing Data is a prime source for cds data (not free).



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