Exploring the future of financial data architecture: AI-native financial data foundation, large-scale financial data processing, and enterprise data quality & governance.
Tag: Credit Risk
Credit Migration Analysis with Credit Transition Matrix is discussed in the CFA Fixed Income, Module 4, Section 3, "Credit Scores and Credit Ratings". Credit migration refers to changes in the credit rating of a bond issuer, which can impact the value and expected returns of an investment. A Credit Transition Matrix is a tool used … Continue reading Credit Transition Matrix and Credit Migration Analysis
Credit Valuation Adjustment (CVA) is the present value of the potential credit risk associated with an investment that carries counterparty risk. The CFA curriculum, Fixed Income, Module 4, Section 2, presents the detailed steps for calculating CVA. In this blog post, I will replicate these steps using Python. Below is a diagram I created to … Continue reading Calculating CVA (Credit Valuation Adjustment)
In the previous blog, I manually crafted the Python code for pricing CDS without relying on third-party quant libraries. While this approach was useful for understanding the underlying algorithm, in practice, it's preferable to use a mature, validated library for standardisation when available. In this blog post, I will revisit the CDS pricing exercise using … Continue reading Pricing Credit Default Swap with QuantLib
Some Basics of Credit Default Swap (CDS) A Credit Default Swap is a credit derivative instrument that functions as a form of insurance, where one party pays a series of premiums to another party in exchange for protection against the risk of default by the issuer of the underlying debt. Parties Involved: Protection Buyer - Owns … Continue reading Pricing Credit Default Swaps
The interest rate term structure models are discussed in the CFA curriculum, Fixed Income, Module 2, Section 8. This section focuses on understanding how interest rates evolve over time, with models used to explain and predict the term structure of interest rates. Modeling the future path of interest rates is critical for a wide range … Continue reading Simulating Future Interest Rates Path
The Z-spread is an important metric for analysing the yield premium on a bond. It measures the constant spread over the benchmark yield curve, typically a risk-free curve, representing the additional credit or liquidity risks associated with the bond. Key features of Z-spread Risk-free benchmark - the Z-spread is measured with a risk-free curve as … Continue reading Calculate Z-Spread with QuantLib
Data Ninjago (Financial Data Architecture) 
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