Hey Guys!
Can anyone explain the following terms in detail with example used in CDS valuation - Par spread/Quoted spread/Recovery risk?
And also how the credit spread curve is used in deriving valuation?
Thank You.
Hey Guys!
Can anyone explain the following terms in detail with example used in CDS valuation - Par spread/Quoted spread/Recovery risk?
And also how the credit spread curve is used in deriving valuation?
Thank You.
https://www.markit.com/cds/announcements/resource/cds_big_bang.pdf
I recommend reading this. Page 19 explains the quoting conventions.