Timeline for Shock to a system of CDS spread values
Current License: CC BY-SA 4.0
5 events
| when toggle format | what | by | license | comment | |
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| Mar 9, 2022 at 20:13 | comment | added | Dimitri Vulis | Also, in addition to spreads changng, you may want to consider the P&L impact of jumps to credit events, with very low and very high recoveries - even for names that are tight now. | |
| Mar 9, 2022 at 18:50 | comment | added | Dimitri Vulis | I'm not sure what "system" means here, please clarify further. If you have some CDS spreads and want to make up some market stress scenarios, then single name spreads can widen or tighten by some basis points (e.g. widen 10bps, 20->30, 100->110), or some % (e.g. tighten by .9. 10->9, 100->90). Be sure to stress the correlations, e.g. all the credits that you're long widen at once, while index hedge tightens. | |
| Mar 9, 2022 at 12:46 | review | Close votes | |||
| Mar 29, 2022 at 3:02 | |||||
| Mar 9, 2022 at 12:30 | comment | added | Kermittfrog | Could you be please be more specific? What is a "system" of CDS spreads? What do you need the shock for? What is a threshold? ...what is your ultimate goal? Thanks a lot. | |
| Mar 8, 2022 at 19:48 | history | asked | statwoman | CC BY-SA 4.0 |