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...
A hedge transaction that, as opposed to a indirect hedge (dirty hedge or proxy hedge), involves establishing two directionally opposite...
A topography report that shows the stability of a position with the passage of time, in an environment characterized by...
A type of gamma that measures the rate of change of sensitivity to price with respect to the change in...
A provision in a derivative contract that stipulates immediate contract termination with a cash settlement if the credit rating of...
In connection with a default swap (or a credit default swap), it is the periodic payment that is made by...
In connection with a default swap (or a credit default swap), it is the periodic payment that is made by...
A form of delta that quantifies the price change effect in relative terms. Instead of absolute movements (which are typically...
A ratio spread which is constructed by involving deltas of options such that a neutral “overall” position is created. To...