I dont understand this logic. If CDS spread>bond yield, then how is buy bond and buy CDS better. If CDS pread is 170bps and bond yield = 120bps, then net earn = Rf -50bps. So final earning is less than Rf.
Vasicek model gives WCDR which is same as 1-V(T,X). Then why are we using V(T,X) while calculating Credit VAR. Formula for credit VAR should be L(1-RR)(1-V(T,X)) rather than L(1-RR)V(T,X). Is there any typo in this or previous slide ?
for BBB to B calculation for PV is at t=1month which is compared with current price which is at t=0. Shouldn't the time frame be same for loss calculation ?
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