An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread

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An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread of 0.50% p.a. for an investment-grade issuer with an estimated effective spread duration (EffSpreadDur_CDS) of 4.75.

Calculate the change in contract price if the CDS spread rises to 0.60% p.a. and interpret the impact of the change on the protection buyer.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 08, 2023 01:41 AM

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An investor seeks to purchase credit protection under a five-year CDS contract at a CDS market spread

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Calculate the upfront premium using Equation 14 an...View the full answer

Fixed Income Analysis

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