CDS Pricing (Part 1): Valuing Fixed and Variable Payments
Interactive

CDS Pricing (Part 1): Valuing Fixed and Variable Payments

Intuition Publishing
Updated Sep 24, 2020

The fair price can be calculated by examining the three elements of the credit triangle: the credit spread, the probability of default, and the rate of return. Here we pull together these elements to calculate the fair price for a standard CDS.