I am having some difficulties understanding how the protection seller bears the credit risk when interest rates rise in a total return swap. Is not he the receiver of total return swap and the return goes down when rates rise? thx作者: pennyless 时间: 2011-7-13 15:43
Any response??? Its stated on book 5, P266 bottom section作者: bodhisattva 时间: 2011-7-13 15:43
seller recieve total return paying floating
when interest rise paying increase but total return decrease
they bear credit risk and interesr rate risk
