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...

A type of transformation which involves a bank’s credit risk. It is typically conducted by investing in securities that have...

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

The risk that a counterparty to a derivative contract may be unable or unwilling to fulfill contractual obligations with respect...