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Derivatives




DVOX


The sensitivity of a credit spread. It measures the change in fair value of a credit derivative (e.g., a credit default swap) in response to an upward shift of a given number of basis points in the par credit default swap spread curve of each reference entity in the reference group.

In the case of a single entity, only the default curve of the single reference entity is shifted a certain number of basis points.



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Derivatives have increasingly become very important tools in finance over the last three decades. Many different types of derivatives are now traded actively on ...
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