We value CDS spreads and kth-to-default swap spreads in a tractable shot noise model. The default dependence is …. These quantities are then used to price and study CDS spreads and kth-to-default swap spreads as function of the model … parameters. We study the kth-to-default spreads as function of the CDS spread, as well as other parameters in the model. All …

We value synthetic CDO tranche spreads, index CDS spreads, kth-to-default swap spreads and tranchelets in an intensity … calibration, which render perfect fits, we compute spreads for tranchelets and kth-to-default swap spreads for different …

-form expressions for single-name credit default swap spreads and kth-to-default swap spreads. We ”semicalibrate” the model for … portfolios (of up to 15 obligors) against market CDS spreads and compute the corresponding kth-to-default spreads. In a numerical …

management, and investment decisions. The Kth-to-default contract is not only a relatively liquid credit risk instrument but also … pricing formula of the Kth-to-default contract. The numerical examples suggest that this bias increases with the correlation …