The CDS Protection Leg: Expected Default Payments in Present Value
This lesson is part of the course
In this lesson
You value the protection leg of the same Halvard CDS: the probability of default in each quarter, the discounted payout (1 − R) × notional and the total protection leg PV.
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Lessons in this course
- Yield Spreads & the Z-Spread: Pricing Credit Risk over Treasuries Locked
- The Credit Triangle: Spread ≈ PD × LGD Locked
- Hazard Rates: Survival and Cumulative Default Probabilities with EXP Locked
- The CDS Premium Leg: Quarterly Payments × Survival × Discount Locked
- The CDS Protection Leg: Expected Default Payments in Present Value Locked
- The Fair CDS Spread: Protection PV / Risky Annuity, and the Upfront Locked
- Mark-to-Market of an Existing CDS When Spreads Move Locked
- The CDS-Bond Basis: When CDS and Bond Spreads Disagree Locked