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Quantitative Finance · Glossário

O que é Credit curve trade?

Definition 18.3 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Capítulo 18 — Credit Relative Value

A credit curve trade buys protection at one maturity and sells it at another on the same issuer or index, in amounts that offset their spread durations, betting on the slope of the credit curve rather than its level.

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