Multi-Name and Index CDSs

  • Christopher L. CulpEmail author
  • Andria van der Merwe
  • Bettina J. Stärkle
Part of the Palgrave Studies in Risk and Insurance book series (PSRIIN)


Credit default swaps (“CDSs”) based on more than one reference entity include bespoke portfolio CDSs with customized reference portfolios, basket CDSs with individualized reference portfolios and engineered payoffs (e.g., Nth-to-default CDSs and excess-of-loss CDSs) designed to reduce the cost of credit protection while tailoring such protection to the particular needs of protection purchasers, index CDSs based on a standardized set of underlying reference entities, and tranched index CDSs based on both a standardized set of underlying reference entities and pre-defined cumulative loss rates. The mechanics of these types of multi-name CDSs are summarized here.


Multi-name credit default swap Multi-name CDS Index CDS Portfolio CDS Basket CDS Tranched index CDS CDX LCDX, LevX iTraxx Nth-to-default swap Excess-of-loss swap XOL swap 


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Copyright information

© The Author(s) 2018

Authors and Affiliations

  • Christopher L. Culp
    • 1
    Email author
  • Andria van der Merwe
    • 1
  • Bettina J. Stärkle
    • 2
  1. 1.Johns Hopkins UniversityBaltimoreUSA
  2. 2.Compass LexeconChicagoUSA

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