Valuation of credit default swap (CDS)

[edh1123]

great video - would you always use the risk-free rate for discounting both sides?

[FlowerTilly]

Jamus, no idea, man.

Question abou the 7:19 calculation: Are we assuming that the CDS seller is going to repay only 40% of the notional, is that correct?

Or is it that in case of default, "every $1000 from the asset will have a fire sale price of 400".

I am confused as I don't understand the payments of the CDS seller. 10x

[Jamus182]

How would the formula look if the payments were semi-annual or quaterly? On the O'Kane and Turnbull paper, to work out the RPV01 it says multiply by delta t, however when i do this with, for example, the same numbers here but with semi annual payments, I get double the BP value. What would I be doing wrong?