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Quantitative Finance · Begrippenlijst

Wat is Credit index arbitrage?

Definition 18.2 Strategies II: Volatility, Relative Value, Macro and the Bank Desks · Hoofdstuk 18 — Credit Relative Value

Credit index arbitrage trades a CDS index against the basket of its constituents’ single-name CDS when the index spread differs from the average of the members’ spreads (the index skew): selling protection on the cheaper side and buying it on the dearer.

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