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

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

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

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

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

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

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

A swap in which one counterparty makes a fixed payment to the other counterparty against a floating spread that corresponds...

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

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