K-TH-TO-DEFAULT BASKET CREDIT DEFAULT SWAP VALUATION PROCEDURE

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

Dynamic text-blocks parameters page

1. Select to value a newly issued or already in-force k-th-to-default credit default swap.
2. Select to enter flat or time-varying yield curve at indicated times.
3. Enter number of outstanding spread payment times.
4. Enter spread payment frequency per year.
5. Enter the time till next spread payment in years.
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 K-th-to-default credit default swap valuation parameters page.

K-th-to-default credit default swap valuation parameters page

1. Enter the name of the K-th-to-default basket credit default swap.
2. Select the name of currency of valuation from the drop-down list.
3. Enter the annually compounded implied hazard rate. If for example the hazard rate is convertible p times a year is H, the annually compounded hazard rate V will be: V = (1.0 - H/p)^p. If the continuously compounded hazard rate is Q, the hazard rate expressed with annual compounding V is: V = (1.0 - Exp(-Q)).
4. If prompted, enter spread payment per unit of notional principal on the k-th-to-default credit default swap in basis points. You will be prompted to enter this when valuing an in-force CDS.
5. Enter the K-th default number that triggers credit default swap payment. For example, if the payment is triggered by the third default, then the number entered in the system is 3.
6. Enter the number of outstanding(not defaulted) reference entities.
7. Enter the value of the K-th-to-default basket credit default swap notional principal.
8. Enter the recovery rate assumption. This is the bond's market value just after default as a percentage of its face value, that is the percentage of face value that can be recovered just after the bond has defaulted.
9. Enter the copula correlation. This is the average correlation of equity returns of companies underlying the corporate bonds(reference entitites) in the basket and a well-diversified market index.
10. 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.