Here is a short CDS primer. For a 1 year CDS Spread S the implied probability of default p is S/(1-R) where R is the Recovery rate.
Showing posts with label CDS. Show all posts
Showing posts with label CDS. Show all posts
Saturday, March 7, 2009
Bank Liabilities and CDS
Great post by baselinscenario.com with the following scary chart of banks' CDS spreads.
Here is a short CDS primer. For a 1 year CDS Spread S the implied probability of default p is S/(1-R) where R is the Recovery rate.
Here is a short CDS primer. For a 1 year CDS Spread S the implied probability of default p is S/(1-R) where R is the Recovery rate.
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