About this document
Quanto CDS and P&L Analysis by Theodor Munteanu is a document available to read on EtoBox.
P&L analysis of credit derivatives (vanilla and exotic) Scenario analysis for sovereign CDS P&L when spread curve and ESTER curve (discount curve) change. Risk (RPV01, Duration, Spread) analysis for vanilla CDS, binary CDS, amortized, forward and quanto CDS. Risk analysis for CDO, CDX and Basket Default Swaps.
- Author
- Theodor Munteanu
- Language
- EN