Return to Index  

CDS VaR / What Data as inputs

July 24 2007 at 6:10 AM
Fabrice McShort 

 

Dear All,

I would like to calculte the VaR of a CDS portfolio. I am going to use the Historical simulation VaR. After that, I will combine the VaR with a Stress test.

According to me, only the CDS spread are necessary for this calculation. Please advise me about this point?

Fabrice

 
 Respond to this message   
Create your own forum at Network54
 Copyright © 1999-2014 Network54. All rights reserved.   Terms of Use   Privacy Statement