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标题: L3 Book 5, Transferring Credit Risk with total return swap [打印本页]

作者: wishmeluck 时间: 2011-5-24 16:31 标题: L3 Book 5, Transferring Credit Risk with total return swap

Book 5中提到可以用total return swap 来transfer credit risk, 但是从下面这句话中看不出来转移了credit risk呢，大家都是怎么看的呢

In a total return swap, the protection buyer pays the total return on a reference obligation (or basket of reference obligations) in return for floating-rate payments.

作者: charlottec 时间: 2011-5-26 17:04

这里的credit risk 应该不包含default risk

作者: wishmeluck 时间: 2011-5-27 16:03

不包括default risk的话，那么它转移的是什么样的一个风险呢？

作者: gangdu1997 时间: 2011-5-29 21:21

credit risks of underlying are transferred，but counterpart·s credit risk still exists

作者: wishmeluck 时间: 2011-5-29 21:28

QUOTE:

以下是引用gangdu1997在2011-5-29 21:21:00的发言：

credit risks of underlying are transferred，but counterpart·s credit risk still exists

恩，我也是觉得Counterpart的credit risk没转移的~

作者: dpf505 时间: 2011-5-30 21:23

[em50]

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