Esposito, Francesco P. - In: Journal of Advanced Studies in Finance II (2011) 1, pp. 18-25
measures for plain vanilla credit default swaps (CDS), standardized and bespoken collateralized debt obligations (CDO) and, in … general, for any credit risk exposed A/L portfolio. In this brief work we compute the market implied probability of default … (PD) from market spreads and the theoretical CDS spreads from historical default frequencies. The loss given default (LGD …