The yield spread between non-Treasury securities and Treasury securities, all having identical features in exception of credit rating. Both are...

The difference between the market spreads and the model spreads (theoretical spreads calculated using a model). For example, the theoretical...

A type of credit risk exposure that involves a position in an instrument associated with a specific risk that arises...

A credit spread derivative whose payoff is based on changes in the perceived credit quality of a reference credit as...

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

It stands for option-adjusted spread; the credit spread that is added over the spot rates (the Treasury spot rate curve,...

The credit spread that is added over the spot rates (the Treasury spot rate curve, the LIBOR rate curve, etc)...

The change in the value of a tranche in reaction to a one basis point increase or decrease in the...

Another name for a vertical spread which constitutes an options strategy constructed by buying and selling the same numbers of...

An options strategy constructed by buying and selling the same numbers of the same options (whether puts or calls) but...