X hits on this document

133 views

0 shares

0 downloads

0 comments

29 / 62

Basket Swaps /Options

Description

A pays B a regular premium (for a swap)/one-off premium (for an option)

       B pays A a set notional amount when (if) the nth (usually the FIRST) credit event takes place on ANY of the reference entities in the basket

Result

       A is short the credit risk of the whole basket of reference entities

       B is long the credit risk of the basket of reference entities

Details

       The basket will usually contain between 3 and 10 reference entities

       The premium will depend on the number and quality of the credits,    as well as the correlation between the credits.

Note that the LOWER the correlation, the HIGHER the risk of one credit event (and so the higher the premium)

Credit Derivative Instruments

Document info
Document views133
Page views131
Page last viewedSun Dec 04 06:54:35 UTC 2016
Pages62
Paragraphs1161
Words4308

Comments