New answers tagged credit-risk
The presence of a mandatory break in a swap contract should reduce the CVA charge. That's because the CVA calculation models the default probability* swap market value while the swap is alive, so the calculation stops at the break date. There is one caveat: if a bank has a history of "waiving" mandatory breaks (i.e. In practice they never get exercised ) ...
This is an oft-debated topic among CVA/DVA professionals at banks. The key question, as pointed out by one of the comments, is whether a bank can derive some type of benefit from the increase in its own credit spread (and thereby make less of a CVA charge on the proposed transaction). The two sides to the argument are (a) on the one hand, surely by ...
investor interest in cash cdo tranches is driven by gaining [leveraged] credit exposure; in cash cdo investor goes long credit exposure and statement "going long tranche implies short exposure (i.e. buy credit protection)" is questionable. synthetic: Entity which issues cdo may sell cds and collect premiums; these premiums are further distributed to pay ...
It is not a direct answer to your question, but if the real problem is the lack of data, you can check www.datagrapple.com for spreads on the tenors 1, 3, 5, 7 and 10 years for coporate, financial, sovereign CDS and iTraxx / CDX indices.
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