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Results tagged with cds
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user 15454
Credit Default Swap or CDS - a type of swap which purpose is transferring the credit exposure of fixed income products between parties. It works like an insurance policy, where protection buyer who makes fixed periodic payments, and a protection seller, who collects the premium in exchange for making the protection buyer whole in case of default. Most of CDSs are traded via OTC as single derivatives or index derivatives like iTraxx / Markit CDX
1
vote
Where can I find the Credit default swap index that Chase bank puts out?
That might be Markit CDX.NA.HY or CDX.NA.IG index, you can check them on Markit website
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3
votes
How to convert the CDS Upfront Fee into the Traded Spread?
You should check this answer: How to interpret the 'price' of a CDS?
It explains the relation between spread and upfront. … In your particular case you might consider using a simple model mentioned at the end of that answer:
A simple model for the value of a short protection CDS can be found if you write
V = (C-S) x RPV01 …
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