A measure of the creditworthiness of a bond. It sets the bond’s Z-spread curve against the CDS contract (CDS spread)....
A portfolio default swap whose exact composition of obligors is not disclosed to the protection seller (in a credit derivative...
The interest payment of a swap is determined based on compounding according to a specific day count convention (such as...
In the context of credit default swaps (CDS) and similar credit derivatives, settlement takes place once a credit event (bankruptcy,...
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...
It stands for contingent credit default swap; a credit default swap (CDS) which is “contingent” upon the setting-off of two...
A credit default swap (CDS) which is “contingent” upon the setting-off of two triggers. The first, as in an ordinary...
A credit default swap (CDS) which is “contingent” upon the setting-off of two triggers. The first, as in an ordinary...