Assume that an investor sells $500 million of protection using the CDX IG index, which has 125
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Assume that an investor sells $500 million of protection using the CDX IG index, which has 125 reference entities. Concerned about the creditworthiness of a few of the components, the investor hedges a portion of the credit risk in each. For Company A, he purchases $3 million of single-name CDS protection, and Company A subsequently defaults.
What is the remaining notional on his index CDS trade?
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His index CDS has 496 million remai...View the full answer
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