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CDS Valuation Techniques and Insights by Saúl García Acosta is a document available to read on EtoBox.
What is CDS Valuation Techniques and Insights about?
The document discusses valuation methods for single-name and portfolio credit default swaps (CDS). It covers: 1) Valuing the present value of CDS spread payments until default using the distribution of default time; 2) Calibrating model parameters to market CDS rates; and 3) Simulating latent variables to determine losses for portfolio CDS tranches and credit enhancements.
- Author
- Saúl García Acosta
- Language
- EN