Credit Index Constituent

From Open Risk Manual


Credit Index Constituent. A constituent of a basket of credit risks, such as an event represented in a credit index

Issues and Challenges

OTPP Note:: There will be a specific reference entity and a specific instrument per index - and only one instrument per entity, per index. note that a credi index constituent may be in principal also be loans (as with CDS also), in which case some of the terms here would not apply (specifically, the reference security identity if the Reference Entity has not also issued any such), however it's not clear how this would be treated.


This entry annotates a FIBO Ontology Class. FIBO is a trademark and the FIBO Ontology is copyright of the EDM Council, released under the MIT Open Source License. There is no guarantee that the content of this page will remain aligned with, or correctly interprets, the concepts covered by the FIBO ontology.

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