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Quantitative Finance · Glossary

What is Contingent credit default swap?

Definition 20.8 Rates, Credit, XVA and Risk · Chapter 20 — The Valuation-Adjustment Desk

A contingent credit default swap pays, on the default of a reference entity, the loss given default on the then value of a specified derivative (or netting set) instead of on a fixed notional: exact protection for the CVA of that derivative, and priced by its CVA.

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