• CDS Index Basis Adjustment

    Author(s):
    David Lee (see profile)
    Date:
    2023
    Group(s):
    Business Management
    Subject(s):
    Derivative securities, Valuation, Capital assets pricing model, Credit
    Item Type:
    Article
    Tag(s):
    CDS, index basis, basis adjustment
    Permanent URL:
    https://doi.org/10.17613/mb21-e756
    Abstract:
    The model serves the purpose of computing basis adjustments for credit spread curves of the constituent obligors of the indexes such that the market price of the index can be repriced exactly. These adjusted index constituent curves are then used to compute index base correlations and mapped base correlations for bespoke trades, price the standard index CDO tranches, and calculate risks for constituent obligors.
    Notes:
    https://www.mysciencework.com/publication/show/pricing-defaultable-collateralized-derivatives-6735b6ec, https://www.mysciencework.com/publication/download/pricing-defaultable-collateralized-derivatives-6735b6ec/5b4bf831c5ba85cc649ce0fa002af32a
    Metadata:
    Status:
    Published
    Last Updated:
    1 month ago
    License:
    Attribution

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