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Default Leg

In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...

Protection Leg

In relation to a default swap (a credit default swap/ CDS), it is one of the two legs of the...

Basket Credit Default Swap

A credit default swap (CDS) in which the protection buyer pays a fee (premium) to purchase default protection on a number of debtors or debt issuers....

Basket Default Swap

A credit default swap (CDS) in which the protection buyer pays a fee (premium) to purchase default protection on a number of debtors or debt issuers....

Basket CDS

A credit default swap (CDS) in which the protection buyer pays a fee (premium) to purchase default protection on a number of debtors or debt issuers....

Credit Default Swaption

An option on credit which gives the holder the right to enter into a credit default swap at a given expiration date, at no...

Risky DV01

In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time. It...

Risky PV01

In relation to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time. It...

Credit Delta

The change in the value of credit default swap (CDS) in reaction to a one basis point increase in the...

CR01

It stands for credit risk spread; a measure of credit default swap (CDS) value sensitivity. It measures the credit sensitivity...