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Credit derivatives terminology

By Vinod Kothari

   

Credit default swap: A derivative contract between two parties, where the protection seller agrees, for a certain premium  paid periodically by the protection buyer, that on happening of certain credit events with reference to a reference asset, the protection seller will make certain protection payments, that is, either take over the reference asset at par, or will make cash settlement equal to the difference between the par value and fair value of the reference asset.

 

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