An investor buys $10 million of five-year protection, and the CDS contract has a duration of four

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An investor buys $10 million of five-year protection, and the CDS contract has a duration of four years. The company’s credit spread was originally 500 bps and widens to 800 bps.

Estimate the CDS price change and estimated profit to the investor.

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 05, 2023 01:27 AM

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An investor buys $10 million of five-year protection, and the CDS contract has a duration of four

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Fixed Income Analysis

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