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Derivatives




Tranche DV01


The change in the value of a tranche in reaction to a one basis point increase or decrease in the underlying credit spread or spreads. Knowing this value allows an investor to determine the amount of credit protection needed to be bought in order to offset the decline in tranche value should credit spreads increase by one basis point.

It is also known as a tranche delta.



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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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