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3

This is, of course, a very old play. The main thing that gets in the way of trading it is that puts are rarely available in a quantity that matches typical credit instrument notionals. Here's a decent paper by Peter Carr on the topic, see equation (4) and surrounding.


2

CDX is available from Bloomberg at no extra cost, though they do not (so far as I know) form a total-return series that takes rolls into account. See, for example, CDX HY CDSI S19 5Y PRC Corp or Bloomberg ID CXPHY519.


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I could not find any such detailed documentation after some weeks of looking (not non-stop obviously). It is appallingly documented. I do understand fully what it does though so am happy to field some questions on it if you like. In a nutshell, I can tell you it is a standard reduced-form credit model under a constant hazard rate (i.e. homogeneous Poisson ...


1

Micro finance did not work in certain parts of South Africa. That's not surprising. Neither this, nor anything else is a "panacea" (cure-all) for various financial problems. Micro finance apparently works in SOME parts of the world (India, Bangladesh, etc.), where the ethos and institutional framework make it viable. It may work better with women (who have ...


1

let me try answer my own questions, partially, from below that are exerpted from FRM exam notes. So actually the K above, is UL, though it derives only from PD and maturity, but the G, N and 0.999, actually are calculating the VaR and UL. So, CAR is defined based on EAD and K, while K means UL. the essence is, CAR is to cover Unexpected Loss -- captical ...


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As others have noted, Markit is a great source for this. For CDX in particular, they publish on a daily basis their "Biggest Credit Movers" which includes CDX, iTraxx, iBoxx, Sovereign Credit improvement/deterioration, and Corporate credit improvement/deterioration. Here is a sample report, which you can also sign up to have emailed to you every day. Keep ...



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