Fabien Couderc, Christopher C. Finger
Abstract
Abstract Credit default swap indices provide exposure to what is essentially a portfolio of credit default swaps, but in the form of a single standard contract. As a single contract, the index has some characteristics that distinguish it from standard CDS.
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Abstract Credit default swap indices provide exposure to what is essentially a portfolio of credit default swaps, but in the form of a single standard contract. As a single contract, the index has some characteristics that distinguish it from standard CDS.
Key concepts: Credit default swap, Credit default swap index, iTraxx, Credit derivative, Swap (finance), Credit valuation adjustment, Business, Synthetic CDO