User contributions for DrKazza

10:3910:39, 21 March 2023 diff hist +1,240‎ N Settlement ‎ Created page with "Originally CDS was designed to be vaguely similar to an Insurance Contract so that when a Credit Event was determined the buyer of Protection would Physically Settle the contract, that would involve delivering some defaulted bonds or loans and in exchange they would receive the Notional Amount of the contract, so for example 10 million USD of bonds which may only be worth 3.5 million USD would be delivered and the seller of protectio..." current Tag: Visual edit
10:2210:22, 21 March 2023 diff hist +896‎ Recovery ‎No edit summary current Tag: Visual edit

17:0517:05, 16 March 2023 diff hist +2,627‎ N Recovery ‎ Created page with "The Recovery of a Credit Event is used in two main situations, Pricing and Settlement. == Recovery Assumption - Pricing == When pricing Credit Derivatives it is almost impossible to escape the Recovery Assumption when building a pricing model. The discounting models will have a discount factor linked to the probability of survival, that is obviously one of the major unknowns in the market however given the price of a bond (or a credit derivative) one can work out the m..." Tag: Visual edit
16:3416:34, 16 March 2023 diff hist +534‎ Credit Event ‎No edit summary current Tag: Visual edit
16:2816:28, 16 March 2023 diff hist −20‎ Credit Event ‎ →‎Bankruptcy Tag: Visual edit
16:2816:28, 16 March 2023 diff hist +12‎ Credit Event ‎ →‎Moratorium Tag: Visual edit
16:2816:28, 16 March 2023 diff hist −168‎ Credit Event ‎No edit summary Tag: Visual edit
16:2616:26, 16 March 2023 diff hist +129‎ Credit Event ‎No edit summary Tag: Visual edit
16:2316:23, 16 March 2023 diff hist +4,486‎ Credit Event ‎ consolidated Credit Event pages Tag: Visual edit

10:0510:05, 18 January 2023 diff hist +1,240‎ N CDEA ‎ Created page with "A CDEA is a Cleared Derivatives Execution Agreement, it can be a level of fallback security when trading Cleared OTC Derivatives to make sure that the trade will still stand if clearing fails. The principle is that a SEF/MTF provides a trading platform/venue and anyone who has access to that venue will be able to trade with any of the dealers providing prices whether or not any other legal documentation is in place, howev..." current Tag: Visual edit
09:3909:39, 18 January 2023 diff hist +98‎ Restructuring ‎No edit summary current Tag: Visual edit
09:3709:37, 18 January 2023 diff hist +4,586‎ N Big Bang and Small Bang ‎ Created page with "After the creation of Credit Derivatives from the 90s there were a number of standardisations introduced to try and help investors get comfortable with the product which, when not standardised introduced some very minor, but potentially unpleasant risks. The Big Bang Protocol happened in April 2009 and covered a lot of different topics and then a Small Bang came into effect in October 2009 which had a lesser effect. === Big Bang: Standard Coupon Rates === Unlike Cash B..." current Tag: Visual edit

13:2813:28, 12 January 2023 diff hist +547‎ Bootstrap ‎No edit summary current Tag: Visual edit
13:2313:23, 12 January 2023 diff hist +31‎ N File:Bootstrap Rates.png ‎No edit summary current
13:1713:17, 12 January 2023 diff hist +65‎ N File:Bootstrap example.xlsx ‎ Simple Excel sheet showing how to bootstrap a curve current
13:1713:17, 12 January 2023 diff hist −678‎ Main Page ‎No edit summary current Tag: Visual edit

15:5915:59, 11 January 2023 diff hist +65‎ Main Page ‎No edit summary Tag: Visual edit
15:4315:43, 11 January 2023 diff hist +2,290‎ N Bootstrap ‎ Added Bootstrap and need to do a worked example with curves rather than averages Tag: Visual edit
15:3815:38, 11 January 2023 diff hist +29‎ N File:Bootstrap Ages.png ‎No edit summary current
15:1115:11, 11 January 2023 diff hist +43‎ N File:Boot Laces.jpg ‎No edit summary current

16:2816:28, 10 January 2023 diff hist +48‎ Restructuring ‎No edit summary Tag: Visual edit
16:2716:27, 10 January 2023 diff hist +1,563‎ N Restructuring ‎ Created page with "When companies start struggling but it's an orderly event (read: NOT LEHMAN) then there is usually time for either a Chapter 11 Bankruptcy protection or something similar in Europe and Asia, the end result is that the Debt gets restructured, maybe your 5 year bond becomes a 25 year bond. Maybe your claim for 100 USD becomes a claim for 20 USD or maybe someone jumps ahead of you in the seniority capital structure. The bottom line is that the..." Tag: Visual edit
15:3415:34, 10 January 2023 diff hist +39‎ Credit Event ‎No edit summary Tag: Visual edit
13:5313:53, 10 January 2023 diff hist +906‎ N Credit Event ‎ Credit Credit Event Tag: Visual edit
11:4611:46, 10 January 2023 diff hist +162‎ N Credit Derivs:General disclaimer ‎ Created page with "This is an educational resource for all things Credit Derivative related. Do not use it as an investment tool, if you do and you lose money then you are the tool." current

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