[R-SIG-Finance] Probability of Default - from CDS

Brian G. Peterson brian at braverock.com
Fri Aug 1 17:41:54 CEST 2008

Dario Nicodemi wrote:
> I was wondering if someone has already worked out some code to calculate
> the probability of default from CDS.

Perhaps a few more details are in order?

What methods would you like to use to value these CDS contracts?  What 
information do you have about the underlying debt?  Are these 
semi-standardized instruments?  What information do you know about the 
contract terms?  are they insured?  If so, by whom, and under what 
terms? etc, etc, etc

All these things go into the probability of default.

So, if you have a particular paper or methodology that you'd like to 
replicate, please do tell, so that the list can help you find code for 
specific techniques or methods.

Also, just to show my open collaboration bent, sharing what you've done 
so far  (and the final working results) generally produces more answers 
on this list.


   - Brian

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