A credit default swap (CDS) which is “contingent” upon the setting-off of two triggers. The first, as in an ordinary...

A trade that deactivates (typically with zero-recovery) if either party defaults regardless of which is in the money. It also...

A trade that deactivates (typically with zero-recovery) if either party defaults regardless of which is in the money. It also...

Counterparty credit risk is a source of great concern for end users and dealers in the swaps market (market for...

A set of measures or tools that can help a creditor/ lender or broadly a market player with certain exposures...

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

Generally speaking, it is the possibility that firms or individuals would fail to honor their contractual obligations on their borrowed...

The use of financial instruments to eliminate or mitigate credit and default risks posed by borrowers or issuers of debt...

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

The spread that is attributed to the credit risk associated with a defaultable instrument (e.g., a credit default swap or...