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Credit Spread

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

Credit Risk Spread

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

Financial Transformation

A process whereby a financial institution capitalizes on mismatches between the two sides of its balance sheet (assets and liabilities)....

Vulnerable Option

An option on a defaultable instrument, which is, as such, subject to default risk resulting from the probability that the instrument’s issuer could not honor its contractual...

Credit Deterioration

A gradual decrease in the quality (credit rating, credit quality) of a credit (a security or an issuer) or a...

Protection Buyer

A party to a credit default swap (or any other type of swap) that pays the other counterparty (known as...

Protection Seller

A party to a credit default swap (or any other type of swap) that takes on the credit risk of...