Question: How does one approximate the CDS spread for a single name
How does one approximate the CDS spread for a single-name CDS on a corporate entity?
Answer to relevant QuestionsComment on the following statement: Credit risk is more than the risk that an issuer will default. (a) What is the reference rate? (b) What is the quoted margin? (c) Suppose that on a coupon reset date that 1-month LIBOR is 2.8%. What will the coupon rate be for the period? Answer the below questions. (a) What is an asset swap? (b)In pricing a single-name CDS, what information does the par asset swap market contain? Why is a portfolio manager concerned with more than default risk when assessing a portfolio’s credit exposure? All other factors constant, for a given reference obligation and a given scheduled term, explain whether a credit default swap using full or old restructuring or modified restructuring would be more expensive.
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