An option contract that gives the holder (the buyer) the right, without the obligation, to buy a certain amount of an underlying...

The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the...

The gamma value that results when the delta of an underlying risk factor changes considerably without any movement in its...

It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity...

In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in...

A gradual decrease in the quality (credit rating, credit quality) of a credit (a security or an issuer) or a...

A credit spread option which gives the holder the right, but not the obligation, to buy a defaultable reference bond...

A sort of put option which is linked to the credit worthiness of a borrower. The holder of the option...

A second-order greek that measures the instantaneous rate of change of an option’s delta with respect to the passage of...

A path-dependent option that is typically embedded in a structured note (range note), allowing the holder to receive a coupon...