Questions tagged [sovereign-cds]
The sovereign-cds tag has no usage guidance.
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Which spread to use to analyse CDS data from Markit
So I am currently doing some analysis on CDS Data and I am using Markit to extract this data. However, I am a bit confused regarding the quotation standards here. I want to investigate the ...
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Calculate zero recovery discount curve from bond yields and cds prices?
Clarifying the below:
Given the prices of bonds that are not trading in distress as yet (so yields are meaningful), and data on the CDS spreads, I’ve been looking for some approaches for estimating a ...
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Hazard rate and Term structure model
About the paper of Pan and Singleton 2008 “Default and Recovery Implicit in the Term Structure of Sovereign CDS Spreads”,
once the lambdas (hazard rates) for the different tenors of the term structure ...
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Basic CDS terminology
new to CDS. Few basic questions on terminology and conventions:
If I look at a Sovereign 5-year Chinese CDS then the graph shows a CDS value of 42.520. (Source). Is this 42.52 basis points?
Is it ...
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How to measure effectiveness of CDS hedging
In a fixed income emerging markets portfolio investing in Sovereign and Corporates, CDS on governement bonds are used for hedging credit risk.
To be clear CDS are used to hedge both the exposure of ...
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Is it possible to sell protection on own asset with CDS?
Is it possible for a company to sell protection on their own assets or own country bonds by CDS?
The company can buy protection on those assets, but how about selling?
I suppose it can not sell. Is ...
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Why use sovereign default risk to determine equity risk premiums?
Damodaran's paper "Equity Risk Premiums..." (2016) discusses the standard of using various measures of sovereign default risk (e.g. Moody's ratings, bond default spreads, CDS spreads) to estimate ...
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CDS for Funding
I was wondering if anyone is familiar with how credit default swaps can be used for corp funding and financing.
I came across an old case where a bank created a funding structure for a client (asset ...
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dataset on Credit Default Swap [duplicate]
I would like to have the CDS for the main countries. Do you know where I could find these data free to use?
Thanks a lot
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