Exercise . Which contract is cheaper: a first-to-default basket CDS or a second-to-default basket CDS (on the

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Exercise . Which contract is cheaper: a first-to-default basket CDS or a second-to-default basket CDS (on the same portfolio, with same maturity, etc.)?

How does the price difference depend on the default correlations in the portfolio?

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Fixed Income Modelling

ISBN: 978-0198716440

1st Edition

Authors: Claus Munk

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Question Posted: Oct 29, 2024 09:01 AM

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Exercise . Which contract is cheaper: a first-to-default basket CDS or a second-to-default basket CDS (on the

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Fixed Income Modelling

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