<t>I am not sure of the value of considering CVA as an option to default. As you point out, while the counterparty is of course at liberty to default if the trade P&L goes against them, they do so at considerable personal cost (eg: bankruptcy as you mention, or at minimum a huge hike in future f...

<t>Depends what your concerns are. One of the two coupons will be likely to be way more liquid than the other. Additionally they have different CS01 sensitivity. Therefore the one with the liquid coupon will likely be cheaper to hedge or close out over its lifetime (unless the underlying credit move...

<t>In the case of your simple formula there is no dependence on currency.If you use a regular vanilla CDS pricer in order to bootstrap a survival curve so as to match the market data inputs (either par spreads or fixed coupons + upfronts) then the discount factors from the IR curve feed into the pri...

10MM. The coupon is in arrears, and in the preceding coupon period you have received 90(-ish) days of protection on 10MM of notional therefore the coupon payable should reflect this.

<t>Nope. 1. In principle you can do still any contract you want over the counter.2. Some emerging markets CDS have monthly rolls rather than the quarterly IMM ones. 3. There are more "standard" coupons for EUR CDS than just 100 and 500 (albeit I think they were intended as more of an intermediate st...

<r>I think the model code still is free (<URL url="http://www.cdsmodel.com/cdsmodel/">http://www.cdsmodel.com/cdsmodel/</URL>). A point to note though is that the model does not claim to be "correct". The key point is that all market participants have the same tool to do upfront <-> "isda spread" co...