Titlebook: Credit Treasury; A Credit Pricing Gui Gianluca Oricchio Book 2011 Palgrave Macmillan, a division of Macmillan Publishers Limited 2011 banki

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CDS Valuation and Trading Strategies, is a measure of credit risk of an entity. Credit default swaps are not measured as a spread over a benchmark, rather, the spread is the annual coupon the buyer of protection (short risk) will pay and the seller of protection will receive. Quite simply, the higher the perceived credit risk, the high

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Consistency Analysis between EVA Metrics and Credit Pricing,ents available in the market, such as bonds, other loans, or credit derivatives. Thus, it cannot assess arbitrage situations arising from relative price mismatches. In this section two approaches to EVA-based risk-adjusted pricing for banks corporate loans are analyzed:

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CDS Valuation and Trading Strategies, the buyer of protection (short risk) will pay and the seller of protection will receive. Quite simply, the higher the perceived credit risk, the higher the CDS spread. In order to compare credit default swaps with bonds, one needs to isolate the spread of the bond that compensates the holder for assuming the credit risk of the issuer.

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Peter Hartz,Hilarion G. Petzoldroxy for forthcoming movements in the actual spreads. This is a general result based on the seminal paper by Merton on structural default compared to CDS spreads. The Merton model yields a theoretical, implied credit spread having as inputs, among others, equity-implied volatility, and it can be compared with observable CDS spreads.

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