valuation of credit ddefault swaps
DESCRIPTION
The excel gives basic detail on how to value Credit Default Swaps...TRANSCRIPT
Credit Defaults ValuationsNotional 1000000CDS Spread 1.435%Recovery Rate 30%Default Density 2%Risk Free Rate 3%
Expected ValuesYear PV (Payment) PV (Payout)
1 13650 137922 12982 131163 12346 124744 11742 11863
50720 51245
Total CF (Payment) 51245Total CF (Payout) 51245Diff(Objective Function) 0
Yr Marginal Default Probabiltiy1 2%2 1.9600%3 1.9208%4 1.8824%
Expected ValuesPV (Accrued Payment)
141134128122525
Cumulative Survival Probabiltiy Cumulative Survival Probabiltiy98% 98%
96.0400% 96.0400%94.1192% 94.1192%92.2368% 92.2368%
Yr1234
0.51.52.53.5
Marginal Survival Probabiltiy98.00%98.040%98.079%98.118%
DF0.9704460.9417650.9139310.886920
0.9851120.9559970.9277430.900325