I want the right (but not the obligation) to deliver bonds in case of default against a fixed recovery rate.What would be a fair price, let's say for a 3month option on GMAC? (or 1yr expiry if it's easier)

Hi KGS, curious, did you find any articles or solution for this? Regards fodor

<t>Hello,nowadays it's easy to obtain pricing for loans in the secondary market. How do Loan desks asses their market risk? What stress-tests are performed? Is some historical price volatility used or are there analytical models out there that can stress credit spread , drawdowns , etc? Any vendors ...