It stands for credit spread option; an option whose payoff depends on the spread between the yields earned on two...

The price of credit risk quoted in a credit default swap. This price is derived indirectly from the credit risk...

A credit default swap (CDS) in which the reference entity is not a third party. More specifically, the credit risk...

It is part of xVA (cross valuation adjustments); it refers to the pricing adjustment made for a collateralized derivative. It...

An option contract, call or put, that trades (i.e., is listed) on an organized or regulated securities or futures exchange....

An option contract, call or put, that trades (i.e., is listed) on an organized or regulated securities or futures exchange....

The price of credit risk as traded in the cash market using asset swaps. In other words, it is the...

The risk that arises from the possibility that changes in credit spreads (omicron) will inversely affect the value of a...

A credit derivative (originally a collateralized debt obligation) whereby the credit risk on a reference portfolio is transferred between the...

A credit derivative that is based on a credit spread as observed from market spread levels, for the purpose of...