1 мая 2021 г. · Would you pls help me to understand why we can proxy the HY CDX price as 100+4*(5%-3%)=100+duration*(coupon-spread)=108 Thank you! credit derivatives - How to interpret the 'price' of a CDS? HY and IG CDX Indexes - Quantitative Finance Stack Exchange Другие результаты с сайта quant.stackexchange.com

5 авг. 2023 г. · Now, the price of the CDS should factor in the spread. Now according to the curriculum, the CDS price is inversely related to the CDS spread.

This was because highyield CDS indices (dotted red line) are conventionally quoted in prices, whereas investment-grade equivalents are quoted in spread basis ...

CDX indexes also may trade at smaller spreads than CDSs. Thus, investors may hedge a portfolio of default swaps or bonds with a CDX more cheaply than if they ...

27 июн. 2024 г. · Credit spreads reflect the creditworthiness of the issuer and the risk of default.

22 нояб. 2020 г. · The CDX-CDS basis is the absolute value of the difference between the spread on the CDX index and the spread implied by the spreads paid on the ...

11 мар. 2020 г. · Referred to as a spread, the price of a CDS is tracked in basis points, similar to the spread of a bond. Currently, the broad high yield CDS ...

22 авг. 2024 г. · In this Fund Insight, we discuss how deploying credit hedges directly in the portfolio can help protect it when credit spreads widen.

While the asset swap spread is the most common measure of a bond's credit risk, it suffers distortion when the bond price is significantly above or below par.

12 апр. 2023 г. · This paper examines the role of key proxies for the economic state and its real-time uncertainty in determining Northern American CDX index spreads.