The Fair CDS Spread: Protection PV / Risky Annuity, and the Upfront
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Lessons in this course
- Yield Spreads & the Z-Spread: Pricing Credit Risk over TreasuriesFree
- The Credit Triangle: Spread ≈ PD × LGD Pro
- Hazard Rates: Survival and Cumulative Default Probabilities with EXP Pro
- The CDS Premium Leg: Quarterly Payments × Survival × Discount Pro
- The CDS Protection Leg: Expected Default Payments in Present Value Pro
- The Fair CDS Spread: Protection PV / Risky Annuity, and the Upfront Pro
- Mark-to-Market of an Existing CDS When Spreads Move Pro
- The CDS-Bond Basis: When CDS and Bond Spreads Disagree Pro