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Presentation . 2022
License: CC BY
Data sources: Datacite
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Presentation . 2022
License: CC BY
Data sources: Datacite
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Credit Default Swap Index Basis Adjustment

descriptionPublicationkeyboard_double_arrow_right Presentation 01 Dec 2022 English Publisher:Zenodo
Authors: Lee, David;

doi: 10.5281/zenodo.7387930 , 10.5281/zenodo.7387929

Credit Default Swap Index Basis Adjustment

Abstract

The model serves the purpose of computing basis adjustments for credit spread curves of the constituent obligors of the indexes such that the market price of the index can be repriced exactly. These adjusted index constituent curves are then used to compute index base correlations and mapped base correlations for bespoke trades, price the standard index CDO tranches, and calculate risks for constituent obligors.

https://ia601404.us.archive.org/30/items/variableSwap/variableSwap.pdf

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Credit Default Swap Index Basis Adjustment

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This is an alternative to the "Influence" indicator, which also reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
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popularity
This indicator reflects the "current" impact/attention (the "hype") of an article in the research community at large, based on the underlying citation network.
BIP!Popularity provided by BIP!
influence
This indicator reflects the overall/total impact of an article in the research community at large, based on the underlying citation network (diachronically).
BIP!Influence provided by BIP!
impulse
This indicator reflects the initial momentum of an article directly after its publication, based on the underlying citation network.
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