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Due to the lack of reliable market information, building financial term-structures may be associated with a significant degree of uncertainty. In this paper, we propose a new term-structure interpolation method that extends classical spline techniques by additionally allowing for quantification of uncertainty. The proposed method is based on a generalization of kriging models with linear equality constraints (market-…
Bank CDS Index tracks the cost of insuring major bank credit risk and serves as a real-time indicator of banking-system stress and confidence.
CDX HY Index tracks the cost of insuring a basket of North American high-yield corporate credit and serves as a sensitive gauge of credit risk appetite and stress.
CDX IG Index tracks the cost of insuring a basket of North American investment-grade corporate credit and is widely used as a real-time gauge of credit stress and financial conditions.
A CDS is a bilateral contract that pays the loss on a reference credit after a credit event — default insurance quoted as a spread.
PD is the probability a name defaults over a horizon — real-world for books, risk-neutral for CDS.
CS01 is the dollar value of one basis point of credit spread — how much the book makes or loses if the name or index OAS/CDS widens by 1 bp.
CDS Basis Trade — Arbitrage between cash bonds and CDS contracts revealing funding and counterparty frictions.
Cheapest-to-deliver is the bond a futures (or CDS) seller will deliver because it minimizes their cost — the option that sits inside the contract.
Credit Default Swap Spread — Market-implied default risk premium for single names and indices.
Bank CDS Index tracks the cost of insuring major bank credit risk and serves as a real-time indicator of banking-system stress and confidence.
CDS Basis Trade — Arbitrage between cash bonds and CDS contracts revealing funding and counterparty frictions.
Cheapest-to-deliver is the bond a futures (or CDS) seller will deliver because it minimizes their cost — the option that sits inside the contract.
A CDS is a bilateral contract that pays the loss on a reference credit after a credit event — default insurance quoted as a spread.
CS01 is the dollar value of one basis point of credit spread — how much the book makes or loses if the name or index OAS/CDS widens by 1 bp.
PD is the probability a name defaults over a horizon — real-world for books, risk-neutral for CDS.