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From: Serhat G. <ki...@gm...> - 2023-05-05 18:00:06
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Hi everyone, I am wondering if there is a method to factor in the counterparty default risk in CDS pricing when the side is "ql.Protection.Buyer". Perhaps, there could be an approach such as default correlation or embedding it into the spread. Do you have any thoughts on this? Regards, Serhat |