Download This PaperPricing a Credit-Linked Note on a CDX Tranche
6 Pages Posted: 9 Nov 2012 Last revised: 18 Nov 2012
Date Written: November 8, 2012
Abstract
A credit-linked note (CLN) on a tranche of the CDX index (partially) protects the holder against default losses in that tranche. The holder receives a specified redemption amount at note maturity. The note is priced using market spread quotes for a matching CDS on this tranche.
Keywords: credit-linked note, credit, default, swap, counterparty, tranche, coupon, rate, maturity, pricing, valuation, algorithm, zero-coupon, bond
JEL Classification: C15, C63, G12, G13
Suggested Citation: Suggested Citation
Chertok, Daniel L., Pricing a Credit-Linked Note on a CDX Tranche (November 8, 2012). Available at SSRN: https://ssrn.com/abstract=2172929 or http://dx.doi.org/10.2139/ssrn.2172929
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