Hot answers tagged

2

If I understand correctly, you don't have access to IHS Markit historical consensus CDS spreads, but you do have access to CMAN (CMA North America) historical CDS spreads on Bloomberg terminal. While IHS Markit would be a little better data, I think CMAN should be good enough for the study you're describing. Don't look at any tenors other than 5Y. Looking ...


2

(I didn't quite understand where exactly you are going with your questions, but I inserted a few statements below that might be useful.) Jorion's table shows: $$ \begin{bmatrix} P(A\cap B) & P(A\cap B^c) & : & P(A)\\ P(A^c\cap B) & P(A^c\cap B^c) & : & P(A^c)\\ .. & .. & & \\ P(B) & P(B^c) & & \end{bmatrix} $$ ...


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 ...


Only top voted, non community-wiki answers of a minimum length are eligible