A multi-name credit derivative is a security that is tied to an underlying portfolio of corporate bonds and has payoffs that depend on the loss due to default in the portfolio. The value of a multi-name derivative depends on the distribution of portfolio loss at multiple horizons....

A credit investor such as a bank granting loans to firms or an asset manager buying corporate bonds is exposed to correlated corporate default risk. A multi-name credit derivative is a financial security that allows the investor to transfer this risk to the credit market. In this article, we...