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CDS spread ≈ (1 – RR) × POD
POD:Probability of default
RR:recovery ratecredit spread on bonds = yield – LIBOR
Credit spreadsは hazard rates や loss given defaultと正の相関があり, recovery ratesとは負の相関があります。upfront […]
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Structural Models
value of risky debt = value of risk-free debt − value of put option(strike price equal to the face value of debt)
value of risky debt = value of risk-free debt − CVA
Therefore, the value of […] -
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Probability of survivall is the probability that the bond does not default.
PS(t) = (1 – hazard rate)^t
PD(t) = hazard rate × PS […] -
short-term volatility reflects uncertainty regarding monetary policy while long-term volatility is most closely associated with uncertainty regarding the real economy and inflation.
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Effective duration can be used to accurately measure the risk associated with parallel yield curve change
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