Nth to default swaps and notes: all about default correlation

By Douglas Lucas and Alberto Thomas

credit-derivatives-book
This article was first published as a chapter in Credit Derivatives, by Risk Books.

An nth to default swap is a credit default swap (CDS) that references a basket of underlying credits, typically three to five names. The protection seller under the swap is exposed to the default of the reference credit that defaults “nth” (first, second, third …). An nth to default note is a creditlinked note (CLN) that embeds this type of default swap in its terms. The purchaser of the note is the seller of cr

To continue reading...

You need to sign in to use this feature. If you don’t have a Risk.net account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an indvidual account here: