of Credit Derivatives
Derivatives: Market Info and awareness
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A derivative contract between two parties, where the protection
seller agrees, for a certain premium paid periodically by the protection
buyer, that on happening of certain credit
events with reference to a reference
asset, the protection seller will make certain protection payments, that is,
either take over the reference asset at par, or will make cash
settlement equal to the difference between the par value and fair
value of the reference asset.