Assignment

MODULE 3 DISCUSSION

Explain what a first-to-default credit default swap is. Does its value increase or decrease
as the default correlation between the companies in the basket increases? Explain.

PRESCRIBED READING:

Chapter 24, Credit Derivatives. Hull, J. (2012). Options, futures, and other derivatives (8th ed.). Boston, MA: Prentice Hall.

REQUIREMENTS:

• Please ensure that the discussion question response is substantive in nature, which includes 500 words.

• Include other sources apart from the prescribed readings. These should be from 2010.