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Tagged with default derivatives
2 questions
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Shock to a system of CDS spread values
Assume we have a system that is built on the CDS spread values. If we want to shock the system, how can we define the shock? For instance, we can define it as the increase in the spread. Of course a ...
- 123
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Fair Price CDS Spread for a Bank
I have been using CreditGrades to calculate fair one year CDS spreads for firms. However, the authors of the model explicitly say that the model does not hold for banks or financial firms. If I need ...
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