27.17 Seller default risk The impact of seller default risk on a CDS swap can be calculated by jointly simulating the reference entity and the seller Suppose Y=Pv of payoff and c is Pv of payments What rules should the simulation have for calculating y and c? Options, Futures, and other Derivatives, 5th edition 2002 by John C. HullOptions, Futures, and Other Derivatives, 5th edition © 2002 by John C. Hull 27.17 Seller Default Risk • The impact of seller default risk on a CDS swap can be calculated by jointly simulating the reference entity and the seller • Suppose Y=PV of payoff and C is PV of payments • What rules should the simulation have for calculating Y and C?