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

Cover -- Half-title -- Title -- Copyright -- Dedication -- Contents -- Preface -- Acknowledgements -- 1 A primer on collateralised debt obligations -- 1.1 Introduction -- 1.2 Securitisation and tranching -- 1.3 Credit derivative products -- 1.3.1 Credit default swaps (CDSs) -- 1.3.1.1 Forward...