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How to hedge Total return swap using CDS
Referring to 209.2C, the TRS payer position is economically most similar to C. Short a credit risk free asset plus long a CDS (based on the solutions); the solutions go on to say "long CDS hedges credit risk and short risk free rate hedges market (interest rate) risk." Unless I am...- andred0250_
- Post #5
- Forum: P2.T6. Credit Risk (25%)