PROCEDURE FOR CREDIT-DEFAULT-SWAP VALUATION AND IMPLYING HAZARD RATE FROM NEWLY ISSUED CREDIT-DEFAULT-SWAP



Financial solutions home page

  1. Log into your account or if you are a new user, register your account and enable two factor authentication.
  2. Click on the [Credit default swap] button, or the [Implied hazard rate] button, this will take you to the Dynamic-text-blocks parameters page.

Dynamic text-blocks parameters page

  1. Select to enter flat or time-varying risk-free yield curve at indicated times.
  2. Select to value a newly issued credit-default-swap or an in-force credit-default-swap.
  3. Enter number of outstanding spread payment times.
  4. Enter the time till next spread payment in years.
  5. Enter spread payment frequency per year.
  6. Click the submit button, and this will take you to the array populating page.

Array populating page

  1. Enter continuously compounded zero rates at indicated times.
  2. Click the submit button, and this will take you to the Credit default swap parameters page, or the Implied hazard rate parameters page.

Credit default swap parameters page, or the Implied hazard rate parameters page

  1. Enter the name of reference entity.
  2. Select the name of currency of valuation from the drop-down list.
  3. If prompted, enter the spread payment for the in-force contract in basis points.
  4. Enter the hazard rate convertible spread-payment-frequency times per year.
  5. Enter the recovery rate assumption.
  6. Enter credit default swap notional principal.
  7. Click the submit button and this will take you to the output display page.

Output display page

  1. You can view pricing model output together with input parameters you entered.
  2. At the bottom of the page you can click on the button to create database record for the current model output. This will take you to the create database record page where you should click on the create button to create the database record.
  3. After clicking on the create button to create the database record, you will be taken to the database records view page, where you can scroll vertically or horizontally to view database records including the one you just created.
  4. You can filter database records according to the currency of valuation using the filter box. You can click on the details link on the extreme right of a particular database record, this will take you to the particular database record details page.