Credit Default swap

A bilateral over-the-counter (OTC) contract in which the seller agrees to make a payment to the buyer in the event of a specified credit event in exchange for a fixed payment or series of fixed payments; the most common type of credit derivative; also called Credit Swap; similar to Credit Default Option.

The Credit Default Swap Basis

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The relationship between credit default swap spreads, bond yields, and credit rating announcements [An article from: Journal of Banking and Finance]

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Sovereign Default Risk Valuation: Implications of Debt Crises and Bond Restructurings (Lecture Notes in Economics and Mathematical Systems)

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Credit Default option

Credit swap

Options & Futures

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