Choroś, Barbara; Härdle, Wolfgang; Okhrin, Ostap - 2009
are betting on
the possibility of a credit event of a particular asset. Nowadays CDS are the most widely
traded credit …
agrees to cover losses if the ith company suffers a credit event. The value of the periodic
fee is specified by the spread si … protection seller in case of credit event is
called default leg DLi and equals the expected present value of the contingent …