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Default Probability

The probability that a borrower (an individual or institution) fails to make full and timely payments of a loan's principal...

Default Risk

The probability that a borrower (an individual or institution) fails to make full and timely payments of a loan's principal...

MN-CDS

It stands for multi-name credit default swap; a credit default swap (CDS) in which the underlying reference is more than...

LCLN

A credit linked note (CLN) whose redemption and coupon payments are linked to a single default event and also depend…

Multi-Name Credit Default Swap Option

An option to buy (if a call) or sell (if a put) a prearranged multi-name credit default swap (CDS). It...

Multi-Name CDS Option

An option to buy (if a call) or sell (if a put) a prearranged multi-name credit default swap (CDS). It...

Multi-Name CDS

A credit default swap (CDS) in which the underlying reference is more than one name (reference entity, reference asset, reference...

Multi-Name Credit Default Swap

A credit default swap in which the underlying reference is more than one name (reference entity, reference asset, reference obligation,...

CCR

It stands for counterparty credit risk; the risk that a counterparty to a derivative contract may be unable or unwilling...

Credit Risk Spread

In relation to credit default swaps (CDS) and other similar derivatives involving a deal of credit risk, it is the...