CreditGrade Web

CreditGrade Web - S 50 Value of the underlying- Credit...

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Credit Default Swap Calculator based on Merton's Structural Model Input Dynamic of the underlying Asset mu 0 Average value - Drift sigma 30% 15% Volatility of the Stock - Diffusion lambda 160 Intensity of Jumps q+ 0.95 Probability of a positive Jump n+ 0.5 Size of positive jump q- 0.05 Probability of a negative Jump n- 0.5 Size of negative jump Maturity (yrs) 5 Maturity of the contract Evaluation of Credit Default Swap Spreads thanks to Structural Models Sref 50 Historical average of the underlying - CreditGrades is a benchmark in the Credit Industry
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Unformatted text preview: S 50 Value of the underlying- Credit Grades Extended in based an extension of Structural models with Jumps D 100 Level of the debt r 5% Risk free rate OUTPUT R 50% Recovery rate CreditGrades CreditGrades Extend bar. Fix CreditGrades Extended bar. Mod Barrier 0.5 Default Barrier Survival probability #MACRO? #MACRO? #MACRO? Barrier'svolatil 30% Volatility of the barrier CDS spread #MACRO? #MACRO? #MACRO?...
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This note was uploaded on 01/15/2012 for the course MAT 5939 taught by Professor Garreau during the Fall '11 term at FSU.

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