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A risk manager is advising the trading desk about entering into a digital credit default swap as a way to obtain credit protection.Which cash flow and delivery requirement will the desk most likely experience in the event of a default of the underlying reference asset?
a.Receive the pre-agreed cash payment;deliver nothing.
b.Receive[(Par Value)-(Market Value of Reference Asset)];deliver the reference asset.
c.Receive[(Par Value)-(Market Value of Reference Asset)];deliver nothing.
d.Receive the pre-agreed cash payment;deliver the reference asset.
Answer:A
A digital CDS will pay off a pre-determined fixed amount in the event of a default.Digital CDS are often used against highly illiquid reference assets that would be difficult to price.
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