A credit derivative (swap) in which the total return on a reference obligation such as a corporate bond (or an...

A swap which is composed of two financial instruments: one with a fixed return and the other with a variable...

The sensitivity of a credit spread. It measures the change in fair value of a credit derivative (e.g., a credit...

A portfolio default swap whose exact composition of obligors is not disclosed to the protection seller (in a credit derivative...

A credit derivative which constitutes a forward contract on a credit spread. More specifically, it is a single period OTC...

In the context of credit default swaps (CDS) and similar credit derivatives, settlement takes place once a credit event (bankruptcy,...

In relation to credit derivatives, it is a curve (usually, positively sloped) that depicts the relationship between credit spread and...

A type of credit derivative in which the two counterparties agree to exchange the total return on a specified asset...

A credit derivative whose underlying is a set of names, i.e., reference entities/ assets/ issuers. Typically, every credit derivative contract...

The quanto spread that relates to a credit derivative, particularly credit default swaps (CDSs), in which case it is known...