A Critique of Modeled Credit Default Swap Duration

Abstract

With the emergence and widespread adoption of credit derivatives, determining the price volatility of a credit default swap has become fundamental to fixed income trading and valuation. The author asserts that this problem has not received adequate treatment, and presents a brief case study that compares the modeled durations of three synthetic bonds with the duration of actual bonds. An alternative modeling approach is proposed that might better match the actual duration.

Citation

BOBERSKI, D.A. (2003), "A Critique of Modeled Credit Default Swap Duration", Journal of Risk Finance, Vol. 4 No. 4, pp. 61-63. https://doi.org/10.1108/eb022975