The document discusses the challenges and risks associated with pricing credit default options, including lack of transparency, illiquid markets, and the private nature of over-the-counter transactions. It highlights the advantages dealers have due to access to private quotation networks and the implications of redemption and succession events on credit default options.
doj/DataSet10/EFTA01393191.pdf
{"document_type":"correspondence","document_subtype":"memo","reference_numbers":["EFTA01393191"]}