Pricing a Credit-Linked Note on a CDX Tranche

A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche

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Year of publication:	2012
Authors:	Chertok, Daniel L.
Publisher:	[2012]: [S.l.] : SSRN
Subject:	Kreditderivat \| Credit derivative \| Optionspreistheorie \| Option pricing theory \| Derivat \| Derivative \| Risikoprämie \| Risk premium \| Asset-Backed Securities \| Asset-backed securities

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