credit-derivatives
CommunityModel, price, and hedge credit derivatives.
Finance & Accounting#pricing#risk-management#cds#credit-derivatives#cdo#credit-indices#default-correlation
Authorbrainbytes-dev
Version1.0.0
Installs0
System Documentation
What problem does it solve?
Credit derivatives such as CDS, CDO, and credit indices are highly specialized instruments requiring robust modeling, pricing, and risk interpretation. This Skill provides a structured framework to understand, price, and hedge these products in a coherent workflow.
Core Features & Use Cases
- CDS pricing & curve construction: bootstrap survival probabilities, calibrate hazard rates, and price protection.
- Index and tranche analysis: evaluate CDX/iTraxx indices and CDO tranches to understand market-implied risk and capital allocations.
- Recovery & risk management: incorporate standard recovery assumptions and sensitivity analysis for stress testing and risk reporting.
- Curve construction & relative value: align single-name curves with index spreads and explore basis trades across maturities.
Quick Start
Price a 5-year CDS for a chosen reference entity using ISDA conventions and a 40% recovery rate.
Dependency Matrix
Required Modules
None requiredComponents
Standard package💻 Claude Code Installation
Recommended: Let Claude install automatically. Simply copy and paste the text below to Claude Code.
Please help me install this Skill: Name: credit-derivatives Download link: https://github.com/brainbytes-dev/everything-claude-trading/archive/main.zip#credit-derivatives Please download this .zip file, extract it, and install it in the .claude/skills/ directory.
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