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发帖数: 3656 | 1 Credit Default Index, CDX/Intraxx
1.the contract, similar to CDS. The referenece is not one single entity but
a basket of entities. In case of US high yield 100 corporate enitities, US
IG, 125 corporate entities.
Buyer of protection pays seller of protection a predetermined quaterly
coupon. In the event one of the referenece entities default, the seller of
protection pays the other party corresponding lose on the bond. The contract
continues with reduced notional.
2. pricing of index.
The net as |
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