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Tag Archives: ISDA
DeLong’s obit for Milton Friedman, an absurdly good read, here.
FINCAD summary of modeling assumptions behind the ISDA CDS Standard Model, here.
ISDA 2009 Announcement, here via Zerohedge: In a historic event that went largely unnoticed, last night ISDA disclosed it is open sourcing JP Morgan’s legendary CDS Standard Model which it got ownerships of on January 29, thereby issuing a challenge to the global community of financial white hats to decompile the code and figure out just what the voodoo is the wizards in JP Morgan’s Quantitative Research group have put together over the ages.
Markit on the North American Market standardization for CDS, here.
ISDA 2007 Research overview Credit Derivatives David Mengle, here.
JP Morgan’s original Guide to Credit Derivatives, here.
Terry Benzschawel and Alper Corlu, Citi Research on Credit Derivatives, here.
Dominic O’Kane has/had his own web based calculator based on his 2008 book Modeling Single-name and Multi-name Credit Derivatives which is in turn based on a very good Lehman research report O’Kane published with Stuart Turnbull in 2003, Valuation of Credit Default Swaps.
Hull and White 2003 on Valuation of a CDO and an nth to Default CDS Without Monte Carlo Simulation. If there is a broker dealer running a PDE solver on their Credit Derivative inventory for daily P&L, find out who the head of quantitative research is there and bow before that guy because he has achieved Steve Jobs-level marketing skills.
Matlab CDS pricer, here.
BionicTurtle has a YouTube video of how to run a CDS valuation on a spreadsheet, here. Appears to be the tip of iceberg of You Tube videos explaining Credit Derivatives
- Value Date: T
- Trade Date: Negotiated
- Effective Date: Trade Date + 1
- Definitions: ISDA 2003
- Calendar: US
- Day Count Basis: ACT/360
- Premium Frequency: 4 IMM roll dates per year- 20Mar, 20Jun, 20Sep, 20Dec modified following
- Currency: US Dollar
- Coupon Accrual on Default: YES
- Libor Curve: Market level USD Libor term structure mark; BBA;
- Credit Spreads: Market level – term structure mark
- Recovery Rate: Market level – typically constant mark
- Deliverable Debt Class: Senior Debt
- Credit Event: Modified Restructuring, Bankruptcy, Failure to Pay
- Premium: negotiated; Points upfront;
- Notional: negotiated
- Maturity Date: negotiated – in given year one of the IMM roll dates – 20Mar, 20Jun, 20Sep, 20Dec modified following
- Termination Delivery: Physical Settlement