L3 Book 5, Transferring Credit Risk with total return swap return, credit

wishmeluck

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.

wishmeluck

不包括default risk的话，那么它转移的是什么样的一个风险呢？

wishmeluck

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~