CUTTING EDGE - Credit derivatives - Struck off - Credit default swaps (CDSs) offer protection against issuer default, and in general the protection is paid via a running spread rather than upfront. When the par spread changes, the contract cannot be unwound without leaving a default-contingent annuity. Although the valuation of that annuity is straightforward, its risk management on a trading book ...
| Year of publication: |
2008
|
|---|---|
| Authors: | Martin, Richard ; Haworth, Helen ; Koch, Fer |
| Published in: |
Risk : managing risk in the world's financial markets. - London : Incisive Financial Publ, ISSN 0952-8776, ZDB-ID 10494753. - Vol. 21.2008, 11, p. 73-77
|