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Credit Default Swap

Posted by Gary Pai

Show inputs of the numerical Method

Number of time partitions per year

Input:
Recovery rate (R)
Risk free rate (r)		%
Hazard rate for year 1
Hazard rate for year 2
Hazard rate for year 3
Hazard rate for year 4
Hazard rate for year 5
Number of premiums per year
Output:
1 year CDS		bps
2 year CDS		bps
3 year CDS		bps
4 year CDS		bps
5 year CDS		bps

The calculation is based on reduced form model of Hull amd White.By given Hazard rates we can calculate the CDS spreads

Tagged: Reduced Form Model, Credit Risk, Credit Default Swap Calculator

 •  Jul 20, 2024  •