Serving the Quantitative Finance Community
-
- jamesnowak
- Posts: 0
- Joined:
Credit ratings announcements: CDS vs. CDS Options
I was wondering which would you expect to change the most, ceteris paribus, to a change in credit ratings...Moreover, what is the theory underlying this.Any direction would be great.James
-
- ASbityakov
- Posts: 0
- Joined:
Credit ratings announcements: CDS vs. CDS Options
I wouldn't expect either one of them to change very much considering that rating agencies are usually behind the curve on this. Also, cds options are illiquid so they would really only change in the sense of traders marking the vol curves a little bit higher.