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Levels Tought:
Elementary,Middle School,High School,College,University,PHD
| Teaching Since: | May 2017 |
| Last Sign in: | 340 Weeks Ago |
| Questions Answered: | 19234 |
| Tutorials Posted: | 19224 |
MBA (IT), PHD
Kaplan University
Apr-2009 - Mar-2014
Professor
University of Santo Tomas
Aug-2006 - Present
1.     Calculate the upfront fee on a CDS on Company XYZ with 4 years remaining and a par CDS rate of 300 bps and coupon of 100 bps. Please use a discount rate of .25 per year.
2.     Over the course of the year, the credit of the XYZ CDS deteriorates to a par CDS rate of 500 bps. Calculate the P&L of the position from the perspective of CDS buyer.
3.     Calculate the upfront fee on a CDS on Company ABC with 4 years remaining and a par CDS rate of 300 bps and coupon of 500 bps. Please use a discount rate of .25 per year.
4.     Over the course of the year, the credit of the ABC CDS deteriorates to a par CDS rate of 500 bps. Calculate the P&L of the position from the perspective of CDS buyer.
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