of Credit Derivatives
Derivatives: Market Info and awareness
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value: The value of the reference
asset with reference to which a credit derivative contract is entered into.
Since a credit derivative contract is not necessarily linked with the value of
reference assets owned by the protection buyer, the contract is usually entered
into with reference to a nominal value, which leaves the protection buyer’s
discretion open as to how much of the reference asset he holds, and how long.
The derivative contract thus runs independent of the amount of reference assets
owned by the protection buyer.