Questions tagged [cds]

Credit Default Swap or CDS - a type of swap which purpose is transferring the credit exposure of fixed income products between parties. It works like an insurance policy, where protection buyer who makes fixed periodic payments, and a protection seller, who collects the premium in exchange for making the protection buyer whole in case of default. Most of CDSs are traded via OTC as single derivatives or index derivatives like iTraxx / Markit CDX

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8
votes
4answers
59k views

How to compute the implied probability of default from a CDS spread?

I have two tasks: Given country's CDS spread draw implied probability of default. Given probability of default calculate CDS spread. If possible, refer to any papers.
7
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1answer
3k views

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-...
2
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1answer
3k views

What is Base- vs. Implied Correlation of a CDO tranche?

What is the difference between Base Correlation and Implied Correlation for a CDO tranche?
8
votes
3answers
4k views

Market Value of a CDS

I need to model the market value of CDS in a portfolio. My current approach is to calculate the present value of the future spread payments - does anybody have a better idea to solve the problem? ...
1
vote
0answers
2k views

CDS Mark-to-Market

I am trying to calculate the Mark-to-Market of a CDS, and I want to know if what I did is correct. Let a CDS of maturity $T$, we suppose that the recovery $RR$, the discount rate $r$, and the hazard ...
0
votes
2answers
155 views

Return on a CDS portfolio

Good evening, I try to compute the performance of a portfolio of a CDS. I already know how to mark-to-market a CDS but typically, the first time you enter a CDS, you invest zero as the mark-to-market ...
7
votes
3answers
1k views

Why do CDS Spreads differ by currency?

last time using Bloomberg I found out that the CDS Spread for Italy 5Y CDS in USD was somewhere around 230bp whereas the Spread for Italy 5Y CDS in EUR was just around 130bp. I looked at other debtors ...
3
votes
1answer
4k views

What does “rolling” for a CDS contract mean? [closed]

I tried to google it but I only get results for ISDA intruducing a new rolling convention.