Credit default swaps

Discussion in 'Economics' started by scriabinop23, Apr 2, 2008.


    Take a look at these default rates going back... Superimpose the numbers on page 16 and 18 and imagine those liabilities between counterparties multiplied times 10, or even 50+ ...

    We are SOOOO early in this cycle.

    One big investment grade default, which I imagine every fixed income quant has rated as 'riskless' ... is all it will take.