Questions tagged [credit]
Fixed-income instruments whose price depends in large part upon judgments of the creditworthiness of a corporation or government.
6
questions
8
votes
1
answer
7k
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-...
- 13.6k
7
votes
2
answers
1k
views
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 ...
- 479
4
votes
4
answers
406
views
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 ...
- 702
3
votes
1
answer
156
views
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 :
$$ \mathbf{E}\left[ e^{\...
- 231
2
votes
1
answer
1k
views
Markit recovery rates : assumed vs real
I often see two different recovery rates in Markit : real recovery rate and assumed recovery rate. What is the difference between them ?
- 231
2
votes
3
answers
3k
views
Accrual in Default Derivation of Credit CDS Curve
In Trading Credit Curves Part I by JP Morgan we have that each point on a credit (CDS) curve represents:
$$PV(\text{Fee Leg}) = PV(\text{Contingent Leg})$$
which is
$$S_n \sum_{i=1}^{n}\Delta_i ...
- 2,472