Basics of Credit Derivatives

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Credit derivatives terminology

By Vinod Kothari

 

 

 

Notional value: The value of the reference asset with reference to which a credit derivative contract is entered into. Since a credit derivative contract is not necessarily linked with the value of reference assets owned by the protection buyer, the contract is usually entered into with reference to a nominal value, which leaves the protection buyer’s discretion open as to how much of the reference asset he holds, and how long. The derivative contract thus runs independent of the amount of reference assets owned by the protection buyer.

 

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