法巴：CDS Pricing

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BNP Paribas: CDS Pricing

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2008-6-9 14:29:00 上传

法巴：CDS Pricing
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INSIDE THIS ISSUE

Chapter 1: Credit Default Swap Pricing

2 Asset swap spread as a pricing benchmark

5 Funding cost differences

6 Discounted bonds – additional capital at risk

8 Quantitative pricing models

Chapter 2: CDS Mark-to-Market Valuation

12 Calculating the mark-to-market value

14 CDS MTM sensitivities

18 Mechanisms for unwinding CDS

20 Appendix 1: Basic Equations in Quantitative Pricing Models

21 Appendix 2: Bootstrapping Hazard Rates

23 Appendix 3: Pricing CDS - A Practical Example

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关键词：Pricing Pricin CDS ICI ING Pricing CDS 法巴