Hi, Mr. Harper, I would like to know whether the following 2 question (Valuation of CDS & Sklar's theorem) are still in the syllabus as I cannot find the formula in the notes. Thanks;)
Hi there,
I have to solve a problem which is actually a real world application of Malz, Chapter 7 - Bootstrapping default probabilities given an observable CDS spread curve.
Please refer to the excel attached: I have created an excel spreadsheet that should do the calculation. What it...
Hi,
I just got confused concerning "to be long or short a CDS".
Is this correct?
"Long CDS" means to be the protection buyer (which is equivalent to be short the bond)
"Short CDS" means to be the protection seller (which is equivalent to be long the bond)
Is the same true for a CDS Index...
Hi David, I've got a short question on the above mentioned. Am I correct to say that the CDS is an unfunded protection due to only contingent payoffs? And TRS would be partially funded and lastly CLN is funded.
Thanks and regards,
jk
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