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Results tagged with credit-derivatives
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user 6621
8
votes
Why do CDS Spreads differ by currency?
Firstly, have a look at this TwoSigma article:
What Sovereign CDS Spreads Potentially Tell Us about Currency Risk
To elaborate, if a country in the Euro Zone (like Italy) defaults, then this will cle …
- 1,052
3
votes
Accepted
CDS Quote Conversion - Quoted vs Par
The reason the spreads were off is that the data came from MARKIT, and MARKIT often includes a 3M spread (but does not always publish it). So the 3M Quoted Spread and 3M Par Spread are exactly the sam …
- 1,052