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Richi Wa
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I have to validate the use of the ISDA CDS standard model.

Don't understand me wrong - I am sure that the ISDA model is "good" I just need to know what it is in detail.

I can download an Excel-plugin and C code but I can not find a full documentation of the model. I assume that it is a constant hazard rate model or a present value model using the probabilities of default similar to what one can find e.g. in Hull.

Does anyone have a link to the official and full documentation?

EDIT: I have found this where the authors write about the ISDA CDS standard model. It would nevertheless be useful to have the official documentation by ISDA.

I have to validate the use of the ISDA CDS standard model.

Don't understand me wrong - I am sure that the ISDA model is "good" I just need to know what it is in detail.

I can download an Excel-plugin and C code but I can not find a full documentation of the model. I assume that it is a constant hazard rate model or a present value model using the probabilities of default similar to what one can find e.g. in Hull.

Does anyone have a link to the official and full documentation?

I have to validate the use of the ISDA CDS standard model.

Don't understand me wrong - I am sure that the ISDA model is "good" I just need to know what it is in detail.

I can download an Excel-plugin and C code but I can not find a full documentation of the model. I assume that it is a constant hazard rate model or a present value model using the probabilities of default similar to what one can find e.g. in Hull.

Does anyone have a link to the official and full documentation?

EDIT: I have found this where the authors write about the ISDA CDS standard model. It would nevertheless be useful to have the official documentation by ISDA.

Source Link
Richi Wa
  • 13.8k
  • 6
  • 41
  • 91

Documentation of the ISDA CDS standard model

I have to validate the use of the ISDA CDS standard model.

Don't understand me wrong - I am sure that the ISDA model is "good" I just need to know what it is in detail.

I can download an Excel-plugin and C code but I can not find a full documentation of the model. I assume that it is a constant hazard rate model or a present value model using the probabilities of default similar to what one can find e.g. in Hull.

Does anyone have a link to the official and full documentation?