Contingent Claim Analysis#


The difference between put price and CDS price as a measure of firm’s contribution to systemic risk based on Gary and Jobst (2010).



class frds.measures.ContingentClaimAnalysis[source]#

Contingent Claim Analysis

__init__() None[source]#
static estimate(equity: float, volatility: float, risk_free_rate: float, default_barrier: float, time_to_maturity: float, cds_spread: float) Tuple[float, float][source]#

Systemic risk based on contingent claim analysis (CCA).

  • equity (float) – the market value of the equity of the firm.

  • volatility (float) – the volatility of equity.

  • risk_free_rate (float) – the risk-free rate in annualized terms.

  • default_barrier (float) – the face value of the outstandind debt at maturity.

  • time_to_maturity (float) – the time to maturity of the debt.

  • cds_spread (float) – the CDS spread for the firm.


A tuple of put price and the firm’s contribution to the systemic risk indicator (put price - CDS put price).

Return type:

Tuple[float, float]


>>> from frds.measures import ContingentClaimAnalysis
>>> cca = ContingentClaimAnalysis()
>>> cca.estimate(
...     equity=5,
...     volatility=1.2,
...     risk_free_rate=0.02,
...     default_barrier=10,
...     time_to_maturity=20,
...     cds_spread=1.5,
... )
(6.659378336338627, 3.3467523905471133)