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- 10:39, 21 March 2023 Settlement (hist | edit) [1,240 bytes] DrKazza (talk | contribs) (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...") Tag: Visual edit
- 17:05, 16 March 2023 Recovery (hist | edit) [3,523 bytes] DrKazza (talk | contribs) (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
- 10:05, 18 January 2023 CDEA (hist | edit) [1,240 bytes] DrKazza (talk | contribs) (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...") Tag: Visual edit
- 09:37, 18 January 2023 Big Bang and Small Bang (hist | edit) [4,586 bytes] DrKazza (talk | contribs) (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...") Tag: Visual edit
- 15:43, 11 January 2023 Bootstrap (hist | edit) [2,837 bytes] DrKazza (talk | contribs) (Added Bootstrap and need to do a worked example with curves rather than averages) Tag: Visual edit
- 16:27, 10 January 2023 Restructuring (hist | edit) [1,709 bytes] DrKazza (talk | contribs) (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
- 13:53, 10 January 2023 Credit Event (hist | edit) [5,918 bytes] DrKazza (talk | contribs) (Credit Credit Event) Tag: Visual edit