June 2013
Intermediate to advanced
768 pages
21h 54m
English
Content preview from Financial Times Handbook of Financial Engineering, The, 3rd Edition
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15
CDS PRICING AND CREDIT INDICES
15.1 A simple CDS pricing model
15.2 Obtaining default probabilities
15.3 Developing a multi-period framework
15.4 The ISDA CDS Standard Model
15.5 Bootstrapping default probabilities
15.6 Calculating up-front payments
15.7 Mark-to-market and CDS valuation
15.9 How credit indices developed
15.10 The CDX and iTraxx credit indices
15.11 Market quotations and statistics
The first part of this chapter explores in some depth the pricing of single-name credit default swaps. We’ll start by developing a simple CDS pricing model – this will enable us to establish the underlying principles and identify the key pricing variables. We can then progress ...
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