Published November 30, 2022
| Version v1
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Credit Derivative Model
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Description
The credit derivative model serves the purpose of pricing and calculating sensitivities for the credit derivative products which are Credit Default Swaps (CDSs), First-to-Default swaps (FTDs), FirstNofM basket default swaps (FNMs), all level Collateral Debt Obligations (CDOs, CDO2s, and CDO3s), and forward starting CDOs.
Notes
https://ia601506.us.archive.org/30/items/bkTree/bkTree.pdf
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creditDerivatives.pdf
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