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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?


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