CFA Level 3 | Calculating CDS Gain/Loss
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CFA Level 3
Portfolio Management Pathway
Module: Fixed Income Active Management: Credit Strategies
It's always confusing when calculating the CDS gain or loss from the perspective of the protection buyer and seller.
What is Covered in This Video
Calculating CDS Price
Calculating CDS gain/loss given an immediate change in CDS spread (for the protection buyer and seller)
Calculating CDS gain/loss after one year (for the protection buyer and seller)