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U sell a CDS at market value 0 and get a coupon of 2% per annum. Assuming the spread jump to 2% and the principal
U sell a CDS at market value 0 and get a coupon of 2% per annum. Assuming the spread jump to 2% and the principal of CDS is 10,000,000 what is going to be the new MV from your perspective? Spread duration is 4.5. 900,000 +900,000 500,000 +500,000
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Port Infrastructure Finance
Authors: Hilde Meersman, Eddy Van De Voorde, Thierry Vanelslander
1st Edition
