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Credit Default Swap (CDS)

A credit derivative where the seller agrees, for an upfront or continuing premium or fee, to compensate the buyer when a specified event, such as default, restructuring of the issuer of the reference entity, or failure to pay, occurs. The value of the swap depends on two default probabilities and the correlation between them: that of the reference entity and that of the counterparty


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F3 Brochure

Portfolio valuation and risk analytics for multi-asset derivatives and fixed income.