CDS Average Life - wilmott.com

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Shilo: Posts: 0; Joined: October 14th, 2007, 1:08 pm

CDS Average Life

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#1

April 9th, 2009, 7:07 am

Has anyone heard about the average life for a CDS? I've been told that is the DV01*10000/Notional, but i cant find anything about it. Thank you.


daveangel: Posts: 5; Joined: October 20th, 2003, 4:05 pm

CDS Average Life

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#2

April 9th, 2009, 7:14 am

same as bond duration

knowledge comes, wisdom lingers


Shilo: Posts: 0; Joined: October 14th, 2007, 1:08 pm

CDS Average Life

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#3

April 9th, 2009, 7:18 am

Thank you.