8. A term structure of CDS spreads can exhibit an arbitrage if the value of the protection leg to time T₁ is greater than the value of the protection leg to time T₂ where T ₂> T₁. In some cases this can allow for a strategy which can guarantee a positive income at no initial cost.

9. The effect of choosing a different recovery rate is that although the model will be calibrated to the market prices of quoted CDS contracts, the value of the protection and premium legs taken separately may differ from the value of the protection and premium legs according to the market standard recovery rate assumption.

10. A bootstrap is the name given to an algorithm that recursively solves a system of coupled equations one at a time, with each solution being found only after a set of the previous parameters have been found.