A type of credit default swap with a floating premium that is reset periodically. A credit default swap is a derivative that covers losses on securities in case of default.
Related information about constant maturity credit default swap:
- Constant maturity credit default swap - Wikipedia, the free ...
Constant maturity credit default swap. From Wikipedia, the free encyclopedia. Jump to: navigation, search. A constant maturity credit default swap (CMCDS) is a ...
- Constant Maturity Credit Default Swap Pricing with ... - Damiano Brigo
Constant Maturity Credit Default Swap Pricing with Market Models ∗. Damiano Brigo. Credit Models, Banca IMI. Corso Matteotti 6, 20121 Milano, Italy ...
- Constant Maturity Credit Default Swap Pricing with Market Models ...
Jan 3, 2005 ... In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move ...
- Constant maturity credit default swap
A credit default swap in which protection payments float up and down in line with prevailing credit spreads rather than...
- What is constant maturity credit default swap? definition and meaning
Definition of constant maturity credit default swap: A type of credit default swap with a floating premium that is reset periodically. A credit default swap is a ...
- Implementation of Intensity Model Approach to Constant Maturity ...
A Constant Maturity Credit Default Swap (CMCDS) is a combination of a. Constant Maturity Swap and Credit Default Swap. The valuation of a CMCDS is ...
- Valuation of Constant Maturity Credit Default Swaps - Academia Sinica
Apr 17, 2010 ... Constant maturity credit default swap. (CMCDS) is an extension of constant maturity swap (CMS) in the area of credit market. CMCDS allows ...
- CMCDS - Constant Maturity Credit Default Swap
Acronym Finder: CMCDS stands for Constant Maturity Credit Default Swap. This definition appears very rarely.