Questions tagged [credit]
Fixed-income instruments whose price depends in large part upon judgments of the creditworthiness of a corporation or government.
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A model to stochastic hazard rate and CDS spread term structure
I'm interested in the term structure of CDS spread.
It's known that the Market CDS rate (fair CDS spread or T-maturity spread) of a CDS contract initiated at $s$, maturity $T$ and recovery function $...
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Replication of "recovery bond"
I just started learning about credit products.
Let $B_t^T$ be the price of a risk free zero coupon bond at time $t$. Similarly, let $C_t^T$ be the price of a zero coupon risky bond from some fixed ...
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Basket Default Swap (BDS)
I would like to understand better the $n^{th}$ to default pair spreads of a basket default swap containing $m>n$ entities.
For example, consider 2 single name CDS's with same spread and same ...
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CDS pricing using intensity models incorporating liquidity
I want to price a CDS using an intensity based model, but I want to account for liquidity as well.
General model: The default time $\tau$ is the first jump time of a cox process, and the survival ...
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Need to solve the stochastic differential equation of Vasicek Model
How to solve the stochastic differential equation of the Vasicek model for the analysis of credit risk? I search in the article "The Distribution of loan portfolio value" (Vasicek) but he doesn't ...
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Flattening a Credit Loss Curve
I have a credit loss curve for 36 months and I want to transform that curve into a 20 months curve without changing its final loss. My credit loss vector is a % of unpaid principal balance in a ...
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Free Data Source for Credit Spreads?
Credit spreads are a key economic indicator. They are the difference between yields on corporate and government debt. They are a measure of confidence in the private sector, they provide insight into ...
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US Rule versus Actuarial Method for calculating interest
I'm trying to understand the difference between the actuarial method and the U.S. Rule for calculating interest. I think the difference is that the actuarial rule adds unpaid interest to the principal ...
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Corporate Credit Risk Modeling Books
Can anybody refer me to a good corporate credit risk modeling book? I'm looking for something more advanced than what's in Hull's very good risk management book. There seems to be many excellent ...
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Simulate correlated credit spread
I want to simulate a credit spread index which is negatively correlated to a given random walk of a stock index. They should be correlated in such a way that larger than average stock growth tend to ...
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Graph of price of CDS against par spread
I'm new to credit and I'm trying to wrap my head around the following idea. I understand that the par spread $s$ is the value of the fixed coupon payment at which the fixed and floating legs are equal ...
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Books on loans (car, house, etc...), pricing and securitization?
I'm looking for a good book on credit analysis, lending, car loans, house loans, etc... I would like to understand the theory and practice behind it. Most books I google for are for the consumer like ...
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quantlib isda cds time-series
I am trying to use quantlib from python to work with time series of cds quote, e.g I would like to evaluate the PV or PUF or other metrics on many different days. Each day has an associated yield ...
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Price moneyness vs spread moneyness for credit index options (CDX HY)
Is spread moneyness equivalent to price moneyness for volatility surfaces of CDX HY? In other words, is the ISDA converter a linear transformation?
I have market data that I need to convert to input ...
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Collateral Mortgage Obligation Z-Tranches
I would like to inquire about a specific type of Z-Tranches used in CMOs
As part of the different collateral mortgage obligation (CMO) structures, we see a specific type of tranches named "Z-Tranche"....
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Negative correlation between interest rates and credit spreads - Why?
In fixed income markets a stylized fact seems to be that there is a negative correlation between interest rates and credit spreads: Spreads tend to widen as rates fall. Why is that?
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Credit quotations with which ISDA models?
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 ...
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First coupon CDO tranche
I am interested in Tranches on Credit Indexes.
Let $T$ be the trade date, let $t_1<T<t_2$ be the accrual dates surrounding the trade date.
I would like to know which option is correct ?
A) ...
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Calculate and compare IRR among products and companies
I am trying to calculate return on investment for a couple of companies and their respective products.
I have two main products:
credit card
installment loan
Owners would like to be able to compare ...
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how does a bond maturing affect the pricing of the corresponding CDS?
if a bond matures, and there is no other existing bond from the legal entity that has not matured. Then how does that affect the CDS that corresponds to that bond?
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Modelling methodologies to build a single credit cycle covariate to be used in an MSM Model
I am currently looking at building a Multi-State Markov model to do PD estimation as per IFRS9. I am trying to figure out how to incorporate the macro-economic covariate to this model as a single ...
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Why trade credit is considered as an investment
One of the Foreign Direct Investment (FDI) components is debt. I understand that a loan given from a foreign investor to an affiliate company in another country is a form of investment as there will ...
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What are the assumption in the DTS paper
In the original Duration Times Spread paper from Arik Ben Dor
, Lev Dynkin, Jay Hyman
, Patrick Houweling
, Erik van Leeuwen and Olaf Penninga
, the authors define a change in spread as follows:
...
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Spread Duration of a Fixed Rate Corporate Bond, with offsetting Futures Position
My question is relatively simple with respect to the below scenario:
I take a $5m long position in a vanilla fixed-rate corporate bond with a spread of 1.50% for a YTM of 5%. These coupons are paid ...
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First to Default
Hi I would like a clarification on how to price a first to default over a basket of two names with correlation rho=0.2 via Li Model using Gaussian Copula.
Up to now I've tried to extract a gaussian ...
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LQD and IG cash spreads
Can someone please tell me the relationship between LQD and IG cash spreads. what's the movement (widen/tighten) of the spreads can tell me about the market, supply and demand
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Why do we have CDS + Bond = Treasury?
In section 25.1, sub-section "Credit Default Swaps and Bond Yields", of "OPTIONS, FUTURES, AND OTHER DERIVATIVES", John Hull defines "CDS–bond basis = CDS spread - Bond yield ...
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Equity and Credit Portfolio Return
This might sound like a trivial question but would appreciate the answer.
How would you calculate the return of the portfolio consisting of only equity and credit instruments? For example, consider ...
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HY and IG CDX Indexes
Where can I get a "tradable quote" and daily historical data on CDX.NA.IG and CDX.NA.HY indexes other than Bloomberg.
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A list of the 01's in the corporate bonds
I have frequently heard terms like DV01, CV01, PV01. Where can I get a list of these glossaries to study? I am not looking for a detailed explanation, just really a list.. Once I have the list, I can ...
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Developing Markov Transition Matrix
I’m working with historical credit performance data and would like to build a transition matrix to predict defaults and delinquencies. I can model the transition between states (ie current - ...
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Pricing Debt/Credit/Mortgage+ Prepayment- Literature?
Does someone know some good literature(Papers or Books) regarding the topic how to Price debt/credit with prepayment?
I just found literature about the general topic , like how to price callable bonds,...
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