Aggregate Funded SpreadAs of any Measurement Date, the sum of: (a) in the case of each Floating Rate Obligation (other than a Defaulted Obligation) that bears interest at a spread over a reference rate based index that is a Benchmark-based Index or is the same as the then-current Bench...
Second, the long-run average spread of a benchmark index may stay as low as three-fourths of the respective long-run average of the mean of the single-name CDS spreads, meaning that the excess liquidity premium may be as high as one-fourth of the firm-specific CDS spread. Third, the ...
则CDS应该是下降，那不是会亏钱吗？？spread 向上倾斜，那么rolldown 策略里，未来spread是向下走的，...
First we perform unit root and stationarity tests and confirm that the spread series contain a unit root. Next, we run cointegration tests, which show that the CDS and the Results In this section we first present result for the benchmark case, namely based on mid-quotes on intraday credit ...
These new benchmarks are specific for the L1000 data, and as such, they set the stage for other methods to be developed by showing how internal and external data can be used to evaluate computational pipelines for processing the L1000 data. To enable access and utility to the composite of...
the premium amounts constituting the "spread" charged by the seller to insure against a credit event. If the reference entity defaults, the protection seller pays the buyer thepar valueof the bond in exchange for physical delivery of the bond, although settlement may also be by cash or auctio...
spread. This means that it can be cheaper to hedge a portfolio of credit default swaps or bonds with a CDS index than it would be to buy many single name CDS to achieve a similar effect. Credit-default swap indexes are benchmarks for protecting investors owning bonds against default, and...
So for a standard calculation via a Z-spread based on the benchmark curve we need an RP built EUR curve to be consistent. With the many problems of the Z-spread, it would be definitely bad to add further ones coming from a recovery assumption inconsistency which would only further ...
CDS_ov
equity investors (myself emphatically included). This is unfortunate, since the price of insuring a company’s bonds (which is what a CDS measures) can sometimes provide insight into the same company’s equity securities. For example, in September 2012, the S&P 500 financials sector began to...