Valuation of credit default swap (CDS)
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5:52
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great video - would you always use the risk-free rate for discounting both sides?
edh1123 10 months ago
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
FlowerTilly 1 year ago
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?
Jamus182 2 years ago