Credit Default Swap

Posted by Fred

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 premiums of CDS

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

 •  Jul 20, 2013  • 

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