CVA Hedge

[alexddr]

Preparing to shadow a CVA desk and can't figure out these two things: What is an example of a single name CDS?



Thank you.

 

[PepeQuant]

Hmm.... your question is little bit weird.

CDS is priced mark to market. That being said, you have the running CDS spread from market. You calibrate a piece wise hazard rate curve from it. And you simply use such curve to price other instruments (like your CVA).