cdsdata

<ul>
<li><code>Maturity</code>: Maturities of cds contracts expressed in years;</li>
<li><code>Par.Spread</code>: CDS rates quotes, spread that nullify the present value of the two legs;</li>
<li><code>ED.Zero.Curve</code>: EURIBOR interest rates (risk-free)</li>
</ul>

datasets

Evaluation of default probability of sovereign and corporate entities based on structural or intensity based models and calibration on market Credit Default Swap quotes. Damiano Brigo, Massimo Morini, Andrea Pallavicini (2013): "Counterparty Credit Risk, Collateral and Funding. With Pricing Cases for All Asset Classes".

Alessandro Cimarelli

CreditRisk

Evaluation of Credit Risk with Structural and Reduced Form
Models

cdsdata function

An object of class <code>"data.frame"</code>.

cdsdata: CDS quotes from market

Description

Usage

Arguments

Format