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Pricing model for a credit-linked note on a CDX tranche

Pricing model for a credit-linked note on a CDX tranche

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Published by chertok
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.
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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Published by: chertok on Nov 09, 2012
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12/04/2012

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