That's right. He finds a formula very close to the formula for sopt CDS. Indeed, you simply have to express the fix and the floating leg, knowing that they will begin in 4Y from today. Of course to do this, you'll need a good credit curve ...Marc

I don't have this paper but I'm also interested to find it ...Sawahili, do you know this : Merton's Model, Credit Risk, and Volatility Skews (Hull) ? It sounds nice, but I had no time to try it ...

I also use the COMBIN function. To verify the results, I check that :0 = SUM[ (-1)^k*C(k;n) ; k=0..n ]For n>30, it becomes completly false !

Hi,I need to compute the C(n;p) in excel :C(n;p) = n!/(p!*(n-p)!)There is a specific function in Excel, but it does work for big n numbers : For n higher than 30 it's completely false !!!Do you have an idea to solve this issue ???Thanks

<t>That's right. Find historical CDS spreads. For example if you have the FT 5Y CDS, you will deduce the 5Y default probability with an assumption on the expected recovery rate (I advice you to take 40%).Use this : s = (1-R)*h (h is the 5Y default intensity)and : Pdef = 1 - exp(-h*T)Of course the bi...

Hi,a friend of mine is looking for the following paper published in "The financial analysts journal" in Sept-Oct 1992 :"Global portfolio optimization"Thx in advance

<t>I think you are talking about the recent CDS spread tightening, isn't it ?So let's imagine ...You are a bank an you want to sell a synthetic CDO (lets say a First to Default). To hedge your spread risk, you need to sell protection on the underlying names of the FTD. That's why people want to offe...

<t>There is also the cheapest to deliver clause in the CDS :If you have a CDS protection and there is a default, you will buy the cheapest bond to do the physical settlement. This option has a cost ...For tight spreads, you can observe that the basis is very low. For wide spreads, it can be very wid...

Does anyone have one left for me ?Please PM me ...Thx

Yes it works perfect ! Ok, the answer was in my question ...Thanks a lot

Hi all,Is there a function in Excel which returns the name of the active workbook ? How to do ...Many thanks

<r>Hi,Look at Hull's paper on Credit swaptions. The first part of his paper answers your question ...=> <URL url="http://www.rotman.utoronto.ca/~hull/DownloadablePublications/HullWhiteCDSoptionspaper.pdfMarc"><LINK_TEXT text="http://www.rotman.utoronto.ca/~hull/Dow ... er.pdfMarc">http://www.rotman....

<t>You will unwind it at the 4Y bid level (say x bp).Then the pay-off is : $10mm*(x-100)*"remaining duration" - accrued value of your current CDSTo compute the remaining duration you need to add the risk free curve + the CDS spread curveYou can also do it with the CDSW function in Bloomberg ...BeZen...

<t>QuoteOriginally posted by: karstenIf the short term default risk is extremely small/illiquid it is however not necessarily worth paying for.Unfortunately, you have to pay a huge liquidity premium for short maturities ... Maybe in some cases it's more realistic to short (if possible) 4M of a short...

<t>Hi,If I believe the CDS curve is going to steepen, I have to buy 10Y and sell 5Y, duration weighted. It means that I have more 5Y than 10Y. So what if the entity defaults on the next day of the trade ? I loose the difference (if I traded 10M of 5Y and 6M of 5Y, then I loose 4M less recovery) !! H...