Valuation of Credit Ddefault Swaps

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Credit Defaults Valuations Notional 1000000 CDS Spread 1.435% Recovery Rate 30% Default Density 2% Risk Free Rate 3% Expected Va Year PV (Payment) PV (Payout) 1 13650 13792 2 12982 13116 3 12346 12474 4 11742 11863 50720 51245 Total CF (Payment) 51245 Total CF (Payout) 51245 Diff(Objective Function) 0

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The excel gives basic detail on how to value Credit Default Swaps...

Transcript of Valuation of Credit Ddefault Swaps

Page 1: Valuation of Credit Ddefault Swaps

Credit Defaults ValuationsNotional 1000000CDS Spread 1.435%Recovery Rate 30%Default Density 2%Risk Free Rate 3%

Expected ValuesYear PV (Payment) PV (Payout)

1 13650 137922 12982 131163 12346 124744 11742 11863

50720 51245

Total CF (Payment) 51245Total CF (Payout) 51245Diff(Objective Function) 0

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Yr Marginal Default Probabiltiy1 2%2 1.9600%3 1.9208%4 1.8824%

Expected ValuesPV (Accrued Payment)

141134128122525

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Cumulative Survival Probabiltiy Cumulative Survival Probabiltiy98% 98%

96.0400% 96.0400%94.1192% 94.1192%92.2368% 92.2368%

Yr1234

0.51.52.53.5

Page 4: Valuation of Credit Ddefault Swaps

Marginal Survival Probabiltiy98.00%98.040%98.079%98.118%

DF0.9704460.9417650.9139310.886920

0.9851120.9559970.9277430.900325


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