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doctorjo11
Topic Author
Posts: 1
Joined: June 1st, 2017, 8:43 am

How to trade best a quanto CLN?

June 2nd, 2017, 4:20 pm

Hi there,
I was wondering what would be best practice re handling a quanto CLN/CDS, i.e. I am short a credit risk in currency X but for hedging I would like to sell  a CLN in another currency (buying protection in another currency). I was thinking about swapping out the two currencies for the respective maturity and eventually consider the coupon payments by making the aforementioned cross currency swap uneven. Any other suggestions?
Thanks in advance!