An investor buys $10 million of five-year protection, and the CDS contract has a duration of four

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An investor buys $10 million of five-year protection, and the CDS contract has a duration of four years. The company’s credit spread was originally 500 bps and widens to 800 bps.

Does the investor (credit protection buyer) benefit or lose from the change in credit spread?

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Fixed Income Analysis

ISBN: 9781119850540

5th Edition

Authors: Barbara S. Petitt

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Question Posted: Nov 05, 2023 01:27 AM

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An investor buys $10 million of five-year protection, and the CDS contract has a duration of four

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The investor owns protection and is ther...View the full answer

Fixed Income Analysis

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