2 votes

Is it possible to sell protection on own asset with CDS?

First, I would emphasize that default protection is bought and sold on debt securities , not on assets. To answer your question, you cannot sell protection on your own debt. You can sell protection ...
dm63's user avatar
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2 votes
Accepted

Basic CDS terminology

Yes, 42.520bp means its the spread of the CDS. The lower the CDS, the lower the premium of the sovereign entity and the less likely it will default. This is overly simplistic but gives you a sense ...
VanillaCall's user avatar
1 vote

Zero-recovery swap / extinguisher swap

Counterparties A and B have a cross-currency swap that disappears (extinguishes) if credit C has a CDS-like credit event. The underlying swap could be physical delivery or non-delivery; or many other ...
Dimitri Vulis's user avatar
1 vote

Which spread to use to analyse CDS data from Markit

The par spread is retained just for compatibility with legacy quoting conventions - pre April 2009 ISDA Big Bang. In my opinion, it's best ignored. Some people may disagree. it's close to the market ...
Dimitri Vulis's user avatar
1 vote

Hazard rate and Term structure model

The paper on Jun Pan's page. The only quotes readily observable in the market are quotes for a few tenors of the standard CDS contract. Please recall that the standard credit default swap essentially ...
Dimitri Vulis's user avatar
1 vote

How to measure effectiveness of CDS hedging

There are two kinds of credit risk: jump to default (JTD) and the CDS spread delta (CS01). If you're long a corporate bond, and you bought CDS protection on the sovereign, and the corporate bond ...
Dimitri Vulis's user avatar
1 vote
Accepted

CDS for Funding

I'm not sure if I understood your question right. What is a CDS? "agreement that the seller of the CDS will compensate the buyer [...] in the event of a loan default [...]. The buyer of the CDS ...
DataAdventurer's user avatar

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