I am curious about the current standard conventions and modeling techniques in the CDS options market. I would be glad if someone could elaborate on the following topics:
State of the art of index CDS option pricing (Valuing front end protection etc). Is there any consensus in the interbank market on how the pricing is done? (BBG CDSO model, Pedersen, Black-type formulas etc.)
What is the standard in volatility surface constructions? (fixed strike (as in Equity), delta (as in FX))
What is known or is the "accepted" volatility dynamic behavior? More specifically, how does the vol surface moves when the underlying CDS spread moves? (sticky assumptions as in EQ, FX?)
I assume options are traded delta-hedged in the interbank market. Is there a standard approach to calculate this delta?
What about current market participants in the CDS option market? (buy side, sell side, XVA desks, liquid maturities and skew points etc)
Thanks in advance