A credit spread that constitutes an amortized premium for a default-based product (such as a credit default swap, credit option,...

A credit spread option which gives the holder the right, but not the obligation, to sell a defaultable reference bond...

An option whose payoff depends on the spread between the yields earned on two underlying assets. For example, this option...

An abbreviation for spread DV01 (of a CDS position), i.e, the spread dollar value of an 01; it captures the...

With respect to credit default swaps (CDS), it is the credit exposure of the swap at a given point in time (it...

The spread that makes the value of a credit default swap (CDS) with the same maturity equal to zero at the present....

The difference between the values of two options, that is made when the value of the one sold exceeds the value...

A premium which is paid quarterly by the protection buyer in a credit default swap (CDS) to the protection seller. It is quoted in basis points per...

With respect to a convertible bond, it is the change in the bond price resulted from a single basis point increase in the...

A credit spread option which gives the holder the right, but not the obligation, to buy a defaultable reference bond...