The difference between the CDS spread and par equivalent CDS spread: PECS basis = CDS spread - PECS It captures...
The premium differential (CDS premium) between credit default swaps (CDS) that have the same sovereign debt but differ in term...
The premium differential (CDS premium) between credit default swaps (CDS) that have the same reference entities (reference assets) but differ...
An acronym for par equivalent CDS spread; a measure of the creditworthiness of a bond. It sets the bond’s Z-spread...
A measure of the creditworthiness of a bond. It sets the bond’s Z-spread curve against the CDS contract (CDS spread)....
An abbreviation for debt valuation adjustment (debit value adjustment). A type of cross valuation adjustment/ x-value adjustment (XVA) that takes...
It is a type of cross valuation adjustment/ x-value adjustment (XVA) that takes out the effects of changes in the...
It is a type of cross valuation adjustment/ x-value adjustment (XVA) that takes out the effects of changes in the...
A premium which is paid quarterly by the protection buyer in a credit default swap (CDS) to the protection seller. It is quoted in basis points per...
