Credit Derivatives: Multi-Name CDS
Interactive

Credit Derivatives: Multi-Name CDS

Intuition Publishing
Updated Sep 24, 2020

The majority of credit derivatives reference a single name, but there is also a large market for multi-name products. Multi-name CDS' usually have less standardized premiums and dates, yet share the same documentation for credit events and settlement as single-name products. Here we examine portfolio products, average baskets, lower premiums, NTD Baskets, and correlation.