Questions tagged [credit]

Fixed-income instruments whose price depends in large part upon judgments of the creditworthiness of a corporation or government.

Filter by
Sorted by
Tagged with
8 votes
1 answer

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-...
Richi Wa's user avatar
  • 13.6k
7 votes
2 answers

Credit Valuation Adjustments -- computation issues

I'm currently working on my Masters project related to accelerating Greeks computations for CVA on mixed interest rate portfolios. I would like to know about the status of technology for CVA and its ...
Vytautas's user avatar
  • 479
4 votes
4 answers

Intuitively, why does liquidity premium contribute to bond yield?

According to the Wikipedia, "The upwards-curving component of the interest yield can be explained by the liquidity premium... Liquidity risk premiums are recommended to be used with longer term ...
Will Gu's user avatar
  • 702
3 votes
1 answer

Simplifying an expectation function of default time and rates

I have the following expectation to calculate : $$ \mathbf{E}\left[ e^{\int_{t_0}^{\tau} r_s ds} \mathbf{1}_{\{\tau < T\}}\right] $$ More precisely, I want to show that : $$ \mathbf{E}\left[ e^{\...
EricFlorentNoube's user avatar
2 votes
1 answer

Markit recovery rates : assumed vs real

I often see two different recovery rates in Markit : real recovery rate and assumed recovery rate. What is the difference between them ?
EricFlorentNoube's user avatar
2 votes
3 answers

Accrual in Default Derivation of Credit CDS Curve

In Trading Credit Curves Part I by JP Morgan we have that each point on a credit (CDS) curve represents: $$PV(\text{Fee Leg}) = PV(\text{Contingent Leg})$$ which is $$S_n \sum_{i=1}^{n}\Delta_i ...
Trajan's user avatar
  • 2,472