Pricing of Credit Default Swaps (Hazard RATE Based)
Basic Pricing of a CDS - From the Spread to the Upfront
The purpose of the model is giving the intuition of the Reduced-Form model (or Hazard Rate approach) used to price CDS ;
More specifically, how the Upfront price can be derived from the relationship between the Protection leg and the Premium leg ;
Also, one can see how the Duration can quickly be estimated from a few market parameters.
Compressed Archive in ZIP Format
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