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Explain what a first-to-default credit default swap is. Does its value increase or decreaseas the default correlation between the companies in the basket increases? Explain.
Explain what a first-to-default credit default swap is. Does its value increase or decreaseas the default correlation between the companies in the basket increases? Explain.
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In firsttodefault credit swap the investors earn or pay premium to sell or purchase protection on ...
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Options Futures and Other Derivatives
Authors: John C. Hull
10th edition
013447208X, 978-0134472089
