credit-default-swap

Learning Objectives: Describe a credit derivative, credit default swap (CDS), total return swap, and collateralized debt obligation (CDO). Explain how to account for credit risk exposure in valuing a CDS. Identify the default probabilities used to value a CDS. Evaluate the use of credit indices...

Learning objectives: Calculate the value of a plain vanilla interest rate swap from a sequence of FRAs. Explain the mechanics of a currency swap and compute its cash flows. Explain how a currency swap can be used to transform an asset or liability and calculate the resulting cash flows...

Learning objectives: Identify factors that affect the calculation of the credit exposure profile and summarize the impact of collateral on exposure. Identify typical credit exposure profiles for various derivative contracts and combination profiles. Questions: 910.1. Consider credit exposure...

Hi @David Harper CFA FRM Good to contact you after a while. I had a question which may be relevant to the folks studying credit risk here as well, I had this after I was studying for the CFA While valuing CDS, we have something called the CDS spread - is this equal or equivalent to the CVA...

Concept: These on-line quiz questions are not specifically linked to learning objectives, but are instead based on recent sample questions. The difficulty level is a notch, or two notches, easier than bionicturtle.com's typical question such that the intended difficulty level is nearer to an...

Hi David, I am getting very confused with the impact of the factors on CDS minus Bond basis (especially positive basis and negative basis as described below). I feel like i am missing something extremely basic causing all the factors influence to be illogical in sign.. I would sincerely...