Default probability of an underlying deliverable obligation is the chance that it would fail to fulfill during the life of...

A measure of the responsiveness (of equity value or bond loss- i.e., equity tranche or bond tranche in a portfolio)...

The default sensitivity of a tranche (to the default of a single name/ credit). It is a measure of the...

A measure of the responsiveness (of equity value or bond loss- i.e., equity tranche or bond tranche in a portfolio)...