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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:
- xml
- Status:
- Published
- Last Updated:
- 4 weeks ago
- License:
- Attribution
- Share this:
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basisadjustment.pdf