Question
Can you set up a trading strategy using long and short positions of the default-free floating rate bond and the defaultable floating rate bond that
Can you set up a trading strategy using long and short positions of the default-free floating rate bond and the defaultable floating rate bond that replicates the cash flow pattern of the CDS?
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Yes a trading strategy using long and short positions of the defaultfree floating rate bond riskfree bond and the defaultable floating rate bond corporate bond can replicate the cash flows of a Credit ...
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Cost Management Measuring Monitoring And Motivating Performance
Authors: Leslie G. Eldenburg, Susan K. Wolcott
2nd Edition
978-0-470-7694, 0470769424, 978-0470769423
