7

This is impossible unless you are very intelligent with good memory-retention skills and already mathemathically proficient in the field of analysis and statistics (and no, a single course in basic probability theory does not suffice). And even if you are, two weeks is an extremely short amount of time. However, assuming these criteria are satisfied, I would ...


2

Most credit default swaps are quoted as CDS spread (the fraction of the notional that the protection buyer would pay every year for a given CDS maturity). However the contract that's actually traded is more likely to have standardized running spread and an upfront fee. Moreover, some names on the verge of default are quoted as upfront. To calculate the ...


2

Simply speaking, as mentioned by Antoine, the accrual arises because default may happen between two payment dates and the accrued payment should be paid. $\Delta_i$ is the year fraction. Since $S_n$ is quoted as an annual rate, $S_n\Delta_i$ is the payment amount per $1 notional. However, in the formula you mentioned, default is modeled at the same frequency ...


1

$n$th to default is OTC. Two counterparties can do any bespoke thing they like. In all the NTD's that I've ever seen, and I've seen on the order of a few hundred, once $n-1$ credit events have already happened. (If $n=1$, this is just first to default.) Their recoveries don't affect anything. Also the running spread does not change. The $n$th default works ...


1

I am not a lawyer. I do have some old $n$th to default term sheets just lying around. Reading them, I interpret their language to work very similarly to the cheapest-to-delver language in single-name CDS. To emphasize again this is just my understanding of some complex legalese and I could well be missing something. Recall that with the single-name CDS, ...


1

No, this is a very rough approximation, ignores convexity. Consider this: if some CDS spread changes from 30 bps to 31 bps, it's a much bigger deal than if it changes from 300 bps to 301 bps. You should bite the bullet and get the ISDA CDS standard model to run. (You can actually download an Excel add-in if you don't want to compile C++ code, but you really ...


1

I recall that in 2002, when Lula won the Brazilian presidential election, and was later inaugurated, most of the market participants assumed that Brazil would default on its sovereign debt, as Argentina did in December 2001. (I took the opposite view and did well for myself.) We used to quote CDS as par spreads back then - was was way over 6,000 bps (today ...


1

All the floating coupons are daycounted. Note that it says Floating Basis: Actual/365. (This is the usual daycount convention for GBP and some other currencies, but for USD the usual daycount convention would rather be Actual/360.) The first period from October 20, 1999 to November 20, 1999 is odd, short, only 31 actual days. Year fraction 31/365 is 0....


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