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This is, of course, a very old play. The main thing that gets in the way of trading it is that puts are rarely available in a quantity that matches typical credit instrument notionals. Here's a decent paper by Peter Carr on the topic, see equation (4) and surrounding.


let me try answer my own questions, partially, from below that are exerpted from FRM exam notes. So actually the K above, is UL, though it derives only from PD and maturity, but the G, N and 0.999, actually are calculating the VaR and UL. So, CAR is defined based on EAD and K, while K means UL. the essence is, CAR is to cover Unexpected Loss -- captical ...


As others have noted, Markit is a great source for this. For CDX in particular, they publish on a daily basis their "Biggest Credit Movers" which includes CDX, iTraxx, iBoxx, Sovereign Credit improvement/deterioration, and Corporate credit improvement/deterioration. Here is a sample report, which you can also sign up to have emailed to you every day. Keep ...

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