The risk that arises from the possibility that changes in credit spreads (omicron) will inversely affect the value of a fixed-income security, particularly convertibles (such as convertible bonds). More specifically, it is the risk of loss from widening of the spread between relevant treasury issues and a different-rating risky issue. To protect against a credit spread widening, the position (a portfolio) can be hedged with volatility swaps or credit default swaps. It is also possible to hedge this risk by shorting a high-yield closed-end fund against the portfolio.

The omicron risk is a component of the credit risk.