1
$\begingroup$

I understand that single name liquid CDSs are (roughly speaking) quoted through either upfront+coupon, spread or price, and that for the pricing, the ISDA standard model is used : among other hypotheses the default intensity $\lambda$ is supposed constant.

  • How are quoted cds indexes ? Are only tranches of cds indexes quoted ?
  • I saw a (maturity, tranche) quotation, what does it mean ? That's, which market model is used ? I heard the same standard model than the one for single names is used : what does that mean ?
  • As far as I understand no correlation is involved for cds indexes, does the "cds index ISDA standard model" assume that all default time are independant with the same constant default intensity ?
  • As far as I understand, for CDOs (standard or bespoke), the correlation comes into play : how are they quoted, and through which market model ?
  • options on cds index tranches : od they exist ? how are they quoted ? which market model is used ?
$\endgroup$

0

Your Answer

By clicking “Post Your Answer”, you agree to our terms of service and acknowledge you have read our privacy policy.

Browse other questions tagged or ask your own question.