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 3.6 MB